I loved the first season of Lost & liked Season 2. With Seasons 3 & 4, I began missing some shows. But got back on board with Season 5, since I heard the end was in sight.
Ideally, yes, you really should watch every episode in order. At least I suggest you begin with the very first episode & just continue. **Don’t read any summaries or recaps beforehand. **That WTF? feeling was quite endearing–although it never really went away. It’s useful to start learning about the characters from the very beginning–although some will fall by the wayside & others do show up.
When interest flags–or you get distracted by work, sleep, interpersonal relationships or other petty concerns–you could start referring to the many 'net resources. Read the summaries & watch important episodes. (Except that most of them really are important in some ways. Or have funny bits.) Also–by then you may have begun to find certain characters extremely irritating. You might want to skip through shows that concentrate on those irritating characters or relationships.
Watch most of Season 5, to help you get up to speed for the finale.
Now, I’m off to Hulu for a refresher course…