Arcanum Unbounded

The collection includes The Emperor's Soul, The Hope of Elantris, The Eleventh Metal, Allomancer Jak and the Pits of Eltania (Episodes Twenty-Eight through Thirty), Mistborn: Secret History, White Sand (prose excerpt), Shadows for Silence in the Forests of Hell, Sixth of the Dusk, and Edgedancer.

It is better as a complement to having read some Cosmere novels rather than a starting point. Several stories (especially Secret History) require prior knowledge of main series events to be read without major spoilers.

Khriss is an in-universe Cosmere scholar who writes the introductory essays for each world in the collection. She is a character with a history in Sanderson's Cosmere who studies the various worlds from an academic distance.

Yes — The Emperor's Soul, Edgedancer, and Mistborn: Secret History are all available as separate publications. Arcanum Unbounded is the only place to find The Hope of Elantris, The Eleventh Metal, Shadows for Silence, and the prose White Sand.