I've read everything by both Pelecanos and Lehane and they're pretty consistently great.
Pelecanos tends to use recurring characters, so it's advisable (but not necessary) to follow the series as they unfold. I'd start with the series of books focusing on Dimitri Karras. The Sweet Forever, my favorite Pelecanos book, is the third in the series, but you could be OK starting there. If you want to start at the beginning, this is the order (all of his books take place in Washington DC):
The Big Blowdown (set in the 40s, we only meet Dimitri as a baby. This book follows his father's life)
King Suckerman (set in 1976)
The Sweet Forever (set in the late 80s)
Shame the Devil (set in the 90s)
Lehane's books are set in Boston. His first five are a series about Patrick Kenzie and Angie Gennaro, a detective team. My favorite of these is the second, Darkness Take My Hand. Most people's favorite, including Lehane's, is the fourth, Gone Baby Gone, which was just made into a movie. My overall favorite of his books is Mystic River (which is better than the movie).
As for Richard Price, I've read three of his books: Clockers, Freedomland, and Samaritan. Loved Clockers, liked Freedomland, didn't like Samaritan at all.
As for David Simon's books, both Homicide and The Corner (co-written with Ed Burns) are very good. If you're a hardcore Wire fan, you'll notice lots of characters, traits, and anecdotes in these books that resurface in The Wire.