I've been watching this show since it first debuted on Showtime and its been one of my VERY favorites ever since then...never missed a beat.
With that said, its safe to say that,
from the very first episode to the last, Season 3 was by far the most gripping, the funniest (I love U-Turn and Doug too), the craziest and best story/ plot wise of any of the others (the others were also great, Season 3 just had a big edge :).
If you're going to buy any season of this show, this is it!
I just hope that the new Season 4 can keep this pace up! :)