There's a new collection edition that has 1-5 complete editions in it. I snagged it off amazon on sale for $15. Steam only goes back to 4 I believe and it's around $10? So I think the collection hard copy is well worth it. They have full manuals on the discs too. I played the first one all weekend and it's amazing for a game from the 90s. I sampled 3 and 4 just to check the graphics but honestly have no plans to put 1 down any time soon. I would start there and just go through them all. Standard game doesn't take that long, you don't have to do the whole campaign. The first one is very simple yet elegant in design, so you can pick it up easily. Just read the manual, skip the tutorial part, just read what all the menus and buttons do and it will take about 10 mins. The interface is the only thing to learn in 1 because the rest is very intuitive.
I also got 6 on sale for under 10 bucks. Haven't loaded it yet though, will take a while to get there.
The only downside to the hard copy is it's on 5 different cds and requires cd so switching between them all is a pita. But that doesn't matter if you play only one all day I guess.
I'd be interested in some strategy discussion if this thread takes us there, though like I said just on 1 and it's not that complex to warrant a huge discussion.