Season 1 will be cheap but it only has 13 episodes.
Seasons 2 and 3 are hilarious.
Season 2 has "Three Days of the Khando," one of the best episodes.
Season 3 has "Dog Dale Afternoon," "A Firefighting We Will Go," "Next of Shin," "Peggy Pageant Fever," and "Nine Pretty Darn Angry Men," which are all amazingly hilarious. The firefighting episode is my all time favorite, and when FX had a viewer voting marathon, it was the highest rated show.
Seasons 4 and 5 are good also.
I'd probably go with 3, then 2, then 4, then 5, then 1. Note that 1 is only last purely based on volume. In terms of hilarity it's still great.
I mean, season 3. Shit. "Do you have any spare tape? My ass has come loose."
Anyway, I'm a huge fan of the show (something I still haven't quite figured out myself), and I'd personally suggest 3.