Yep, "The Hedge Knight" is the first, and explains how Dunk and Egg met.
I still haven't read "The Mystery Knight," though I own an anthology in which it was reprinted. I should find the time, especially given the relevance of one of its characters to A Dance with Dragons
. But I have so much other reading going on, I probably won't get around to it, or the forthcoming fourth Dunk and Egg story, until the collection of the first four is published in May 2014 or so.