Yeah, just jump in the deep end. Go right into Season 4. I did it. My first season was S3. I watched all the episodes in three days with no idea what it was other than a show on HBO with a bunch of guys who were on Oz. The next three or four months were watching S4 as it aired, and S1 & 2 on Netflix. So I can't really say I've had that experience trying S1 for the first time.
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"Because they don't want to reason about what they consider a masterpiece and be hurt when they realize it was all useless." - Umineko on Lost