This may be a little bit confusing at times, because Last First Snow is actually chronologically the first book in the Craft Sequence but is the 4th book in terms of publication and we also have characters making an appearance here before they turn up in 'later' books I've already read...
Last First Snow is set in the sprawling city of Dresediel Lex, just like Two Serpents Rise, though our protagonist for much of the book is not Caleb but his father Temoc - Caleb does make an appearance but he's a child in this book. Because I'd read Two Serpents Rise first, I knew what Temoc was going to do at some point but Gladstone does a great job of making Temoc himself much more sympathetic as a character than the man we meet some years later and often from his son's perspective.
We also encounter Elayne Kevarian, who is one of Tara Abernathy's mentors in Three Parts Dead, though a younger and somewhat less jaded version, even though she's a survivor of the war which led to the death of Temoc's gods. The King in Red, their Craftsman-powered destroyer and new ruler of the city is also here, though at least by the time we encounter him again in Two Serpents Rise he seems to have learned a thing or two about self-control.
The story itself is set around an attempt at gentrification, as the territory once occupied by the slaves kept for sacrifice and work by the gods is being targeted for redevelopment. Elayne is brought in to try and broker a deal between the locals and those who want to profit from the place, especially as all the protections on that area are now breaking down following the death of the gods who underpinned them. She and Temoc find themselves embroiled in attempted insurance fraud and financial shenanigans, even as the King in Red massively over-reacts to a relatively peaceful occupation.
It's going to be interesting to read these books all in chronological order once I get hold of a copy of the final one, Four Roads Cross, which sees the storyline return to Alt Coulumb and pulls in both Tara Abernathy and a bunch of other familiar faces.