I'm confused between these two sentences. Which one's correct ?
Both are correct however, their meanings are slightly different.
"Which one to read first" - It means that one is asking the other that which thing he is supposed to read first? Consider a man who has a servant. He asked his servant to bring a newspaper and read it to him. His servant brings the newspaper however, he doesn't know which news should he tell his master first. So, here he would ask his master, "which one to read first"?
"Which one should I read first" - Here, he basically is asking that what do you suggest reading first.