If you expect to be in for the long haul you might want to start early in and go sequentially. While there isn't much for continuity from a standpoint of things that happen in the show, they build a vocabulary based on previous episodes over time.
Then there's the occasions they transcend time like when they referenced Frank back on the KTMA episodes.
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The callbacks are wonderful, something that makes them even that much more memorable. Mike, the host of the later seasons, would do callbacks from when Joel was still the host (though Mike was a writer on the show before hosting), which are hilarious.
Some of my favorite callbacks:
"Shut up, Iris!"
"Watch out for Snakes"
"Yuma! Yuma!"
"Mitchell!"
"In cars!"
"TOR-CHA!!!"
While mumbling: "better than the creeps in this joint."
"That square bugs me! He really bugs me!!!"
"I'm gonna moon you, man!!"
I don't remember the name of the tv show, but just about anytime there is a shot of the outside of a medium sized, apartment block looking building, they hum the theme song to this particular show whose name I can't remember lol. That one is the longest, most used callback that I remember. It started early on with Joel and they did it all the way to the end during Mike's reign.
That is a fine point. If you are going to be in it for awhile, consider starting from the beginning. You don't even have to watch every episode in the beginning, just find out the ones that are most highly regarded and watch those for each season. You can always go back and watch them.
Oh, and btw, what are some good KTMA episodes to watch? I've been saving those for later though now I'm thinking the time is right, I just don't know where to begin and I'd like to watch the best ones first.