Polar Star is high on my priority list because of the setting! I didn't read some of the middle books in the series yet because I was specifically looking for a particular character's introduction and wanted to read all the books they're in, and then I'll go back and catch up.

The early books are spectacularly bleak, but I feel like the series gets less grim and depressing after Havana Bay; he actually starts getting some allies and supporters who don't die or betray him immediately. I think I would have much less positive feelings about the series overall if I hadn't happened to hit a recent book immediately after Gorky Park in which things do actually work out pretty well for him! (Though I'm honestly a little reluctant to read the most recent one because of how often this all implodes afterwards...)