Lost has had the most amazing split-review I've ever seen. It's praised for it's incredible story, deep mythology, incredible score, and beautiful visuals... and then it's put down by people not knowing what is going on half the time. Let me tell you, if you're even remotely interested in this show, start right: start from the beginning.
This show is one full story with a true, planned end in sight, which therefore warrants your full and complete attention to the first act. Season one is all about introducing the characters to the audience, and introducing the island to the characters. Most episodes contain flashbacks focused on a specific member of the show. You'll enjoy seeing their paths cross, intertwine, or just full-on collide. Season one is all about investing in the characters, building a foundation.
My advice to you would be to buy seasons 1 & 2 together. You'll be glad you were prepared!