Season 1 is nice, but the style of the show is still too rough at that point. Even the effects aren't very good and the characters aren't developed enough yet. Plus, it's just very short. I like Season 1, but it's not my favorite.
It was hard for a long time for me to pick between Seasons 2 and 3. Both are really great. Eventually, though, I settled with Season 3, for all the reasons Damon mentioned above, as well as the song "Somewhere in the Night," the Christmas episode, and "Black on White on Fire," by far the best episode about racism that the show ever did.
Season 4 is decent but started to get redundant. Season 5 played too wonky with the show's format. I liked 5 a lot for a while because it was so different. Now I think I appreciate 4 more than 5.
If I had to list the seasons in order of preference, it would probably be 3, 2, 4, 1, and 5.