finish season 1 because there are some references* to season 1 in it while seasons 2 and 3 are their own things entirely.
I remember watching season 3 and it was fair. I started season 2 but I don't think I finished it because it was not good.
*The dude who created the show and did seasons 1-3 was such a petty little beyotch about "Night Country" and Issa Lopez daring to reference his work. He was the one who left the series but he and his fanboys were such babies because HBO continued the show without him. It made me gleeful that the ratings got better with each episode of "Night Country" and it was renewed with Lopez getting to make another season soon.