I have not watched any other season but turned on Season 3, and man the first episode is hard to get into........gonna give it another try this weekend when I am not so rushed.
Don't feel bad if you weren't into it right away, the show is very much a slow burn. Now trust me here and start with Season 1 if you can. Not only is it better, but there are some scenes and storylines in 3 that will make more sense to you.