
→ 'Letters on Ethics' (University of Chicago Press) – I consider this to be the definitive English translation; it's done by two of the foremost scholars: Margaret Graver and A. A. Long. This has the full set of 124 letters. It reads extremely well, has a solid introduction with excellent notes throughout, and it's also wonderfully typeset. It can't get better than this. (This costs about 40 euros; if it's a tad pricey for you, see the alternative below. )
→ 'Seneca: Selected Letters' (Oxford World's Classics) — This is a curated list of letters by a reputed scholar, Elaine Fantham. A compelling aspect about this edition is that at the beginning of each letter there's a short summary of it.
→ 'Seneca: Dialogues and Essays' (Oxford World's Classics) — This contains some of Seneca's famous essays on bereavement consolations, on tranquility of the mind, and more. Translation by John Davie; it reads very well. (I also consult an alternative excellent translation, 'Hardship & Happiness'; this was also, like the full set of letters above, commissioned by Chicago University Press; and translated by several scholars.)
And FWIW, I've written[1] last year about suggested English translations for broader Stoicism-related works. Translations matter.
The meaning of it is explained in a note (24.2) from Seneca's Letters on Ethics (the full collection of 124 letters; excellently translated by Graver and Long):
"The advice to reflect on all possible misfortunes is not meant to license groundless worry but rather to afford an accurate assessment of what a human life is likely to include, thus mitigating the psychological impact of inevitable misfortune. [...]"
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And here's a rousing passage by Seneca from letter 91 ("A terrible fire at Lyon"):
"When one is unprepared for a disaster, it has a greater effect: shock intensifies the blow. No mortal can fail to grieve more deeply when amazement is added to the loss [...]
"Absolutely anything can be overthrown in its finest hour by the caprice of fortune. Th brighter it shines, the more it is liable to be attacked and shaken: for fortune, nothing is arduous, nothing difficult. Not always does it come by a single road, not always by paths that are well worn. Sometimes it turns our hands against each other; at other times, relying on its own resources, it finds dangers for us that need no agent. No moment is exempt. In the midst of pleasure, things arise that cause us pain. In a time of peace, war breaks out, and all that one had relied on for security becomes an object of fear: friends turn into foes, allies into enemies. The calm of a summer day is suddenly transformed into storms greater than those of winter. Even without an enemy at hand, we suffer war’s effects. If there are no other reasons for calamity, excessive prosperity finds its own reasons. The most careful people are attacked by illness; the sturdiest by physical decline; punishments affect those who are completely guiltless; riots those who live in total seclusion. People who have almost forgotten the power of chance find themselves picked out to experience some novel misfortune. The achievements of a lifetime, put together with great effort and many answered prayers, are cast to ruin in a single day. But to speak of a day is to make our hastening calamities slower than they really are. An hour, a mere moment is enough to overturn an empire. It would be some relief to our frailty and our concerns if everything came to an end as slowly as it comes into existence. The reality is that it takes time for things to grow but little or no time for them to be lost."
From my experience of reading multiple translations of the Big Three, for someone new to Stoicism, I'd suggest not to start with the popular recommendation of Marcus Aurelius.
Start with Seneca's Letters, then Epictetus (an ex-slave, and a profound influence on Marcus Aurelius), and only then Marcus Aurelius, the Roman Emperor. (To quote the foremost Stoic scholar, A.A. Long: "[...] That an ex-slave actually shaped a Roman Emperor's deepest thoughts is one of the most remarkable testimonies to the power and applicability of Epictetus' words.")
The quality of the English translation matters a lot. Here are my recommendations:
• Seneca: Letters on Ethics — translation by Margaret Graver and A. A. Long. This is the most recent translation, reads extremely well, outstanding notes, and wonderfully typeset. It's translated by the current foremost experts; can't get better than this. I've been reading this for four months. (If this is a tad pricey for you, I've also heard good things about Selected Letters; translated by Elaine Fantham.)
• Epictetus: Encheiridion, and Selections from Discourses, by A.A. Long. This is a short book; the value addition here is the great introduction, and the outstanding glossary. (NB: there is no escaping full Discourses of Epictetus—refer below.)
• Epictetus: Discourses, Fragments and Handbook — translation by Robin Hard, intro by Christopher Gill; Oxford University Press. Spend a good four months immersing yourself in it. Epictetus is full of heavy irony, dark humor, histrionic wit, and sarcasm. Absolutely my favourite.
• Epictetus: A Stoic and Socratic Guide, by A.A. Long. Important Note: To get maximum value out of this, you must have already read at least one translation of Epictetus' full Discourses! This book orients the reader to Epictetus with an extremely valuable context: how not to misinterpret his unqualified faith in "divine providence" (which can grate on our "modern ears"); the influence of Plato and the "Socratic Elenchus" (colloquially known as "Socratic Method"); deep insights into Epictetus' own inimitable style; and a rich bibliography.
• Marcus Aurelius: Meditations. There are at least six translations. I'd suggest to start with the gentler translation by Gregory Hays. If you like it, then you can research other translations. (A.S.L Farquharson spent a lifetime on his translation of the Meditations; it also has commentary. I sometimes consult this edition.)
• The Inner Citadel: The Meditations of Marcus Aurelius, by Pierre Hadot. This needs to be read only after you've read at least one translation of Marcus Aurelius This is a fantastic dissection of Aurelius' work—Hadot studied him for 25 years. Besides fresh translations of the Meditations, it also contains unparalleled summary of Epictetus, and many quotes of Seneca.
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I'll end with one of my favourite Epictetus quotes:"For sheep, too, don't vomit up their fodder to show the shepherds how much they've eaten, but digest their food inside them, and produce wool and milk on the outside. And so you likewise shouldn't show off your philosophical principles to ordinary people, but rather show them in the actions that result from those principles when they've been properly digested."
[1] http://www.press.uchicago.edu/ucp/books/series/CWLAS.html
• "Many people grasp and hold on to life, like those caught by a flash flood who grasp at weeds and brambles. Most are tossed about between the fear of death and the torments of life: they do not want to live but do not know how to die. Cast off your solicitude for life, then, and in doing so make life enjoyable for yourself. No good thing benefits us while we have it unless we are mentally prepared for the loss of it." — Seneca
• "Epicurus says 'It is a fine thing to learn death thoroughly.' Perhaps you think it is a waste of time to learn something you will need to use only once. But that is the very reason we ought to rehearse: if we cannot test whether we know it, we should be learning it always." — Seneca riffing on Epicurus (not to be confused with Epictetus, a Stoic; he even has a discourse titled "Against Epicurus")
• "As the water clock does not empty out its last drop only but also whatever dripped through it before, so our last hour of existence is not the only time we die but just the only time we finish dying. Death is not one event; the death that takes us is our last." — Seneca
• "Years are not given out by quota. There's no way to know the point where death lies waiting for you, you must wait for death at every point." — Seneca
• "Let death be before your eyes every day, and you will never have a base thought or an excessive desire." — Marcus Aurelius
• "The torment we feel comes about through our own agency, because we become alarmed when we believe that death is close at hand. But isn't it close to everyone, ready in place and every moment?" — Seneca
• "Think about arranging the present as best as you can, with serene mind. All else is carried away as by a river." — Horace
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Sources for quotations: Seneca's 'Letters on Ethics' (full set of letters, excellently translated by Graver and Long); the others are from 'What is Ancient Philosophy?' by Pierre Hadot.