I took a risk and I'd do it again because this show is one of the greatest achievements of all TV time. The pilot is a perfect intro to the show, establishing the characters and plots, the main one and various subplots, that it's addictive. WHO KILLED LAURA PALMER!? The mix of light and dark, quirky humor, heavy drama, fantastic production values, and so much more! If you haven't seen any of the show, stay clear of the last 15-20 minutes. I heard about the special ending and found out that the original pilot ends at Sarah Palmer's scream after her dream. End it there, watch the rest of the series, then go back and watch the ending.
Other than that, sit back, relax, and ENJOY! And believe me, YOU WILL!