For somebody that's never seen the series, the best way to do it may very well be to get the DVD sets and watch the whole series pretty quickly. That way you'll avoid the frustration and confusion that many viewers felt as the mythology unfolded, a few episodes at a time, over several years. For most of the time it was on, it was one of my 2 or 3 favorite shows.

I could never justify the prices for the first releases, but the new ThinPaks-in-a-sleeve sets are decent enough that I'm probably gonna start collecting them soon.