Dance to the Piper is my favorite, and it includes some interesting insights into the early movie industry in Hollywood. The writing is very charming and it's worth seeing her view of choreography, ballet, and various companies and persons she worked with.
The last volume, Reprieve, describes her struggles to recover from a stroke. It's well worth reading, but I think less entertaining or interesting than the other volumes, perhaps because I think she says very little about dance or choreography in this book.