The Cage is arguably the best episode in all of Star Trek. Go back and check dat shit.
The ONLY reason to watch The Cage is to be a completist. It is great fun to see the original pilot to the original show, and you may want to see it before seeing Where No Man Has Gone Before (the second pilot) but it is FAR from the best episode EVAR.
You get everything you need to know about the Cage, in the Menagerie, so if you skip it, you miss nothing important.