Season 1 is the best. Season 2 had some definite issues (Shannon's death being the final scene of three sequential episodes, for one -- get the hell over it, already!), but was still fantastic and had the best of the four finales. Season 3's first few episodes falter, but gains many points for the Ben/John stuff. Season 4 telegraphs way way way too much stuff (Jin's fate for one, the identity of the person in the coffin, the identity of the man in the boat) in a variety of ways, but is still thoroughly entertaining television. Plus, season 4 has baby Locke.
So, yes, season 1.