First of all, START WITH SEASON 1. It is worth it. Don't just jump into it, the show is an experience and you need to start from the beginning.
Step2
You can buy Season 1-3 anywhere that sells DVD's. You can also watch every episode for free at ABC.com -- with 30 second commercials every 15 minutes or so. You can also google "free lost episodes" and probably find a site that streams the episodes for free -- without commercial interruption, but ABC.com is probably you're best bet.
It is worth it to buy the Seasons though, the Special Features are fun and something you'll want to watch.
Step3
Get into it! There are web sites dedicated to what is happening and guessing what is going to happen. You may want to catch up completely before you look at all the theories, just in case there are spoilers!
Step4
Enjoy the ride! Don't get frustrated that you don't know something, and just wait to see what happens next! The writers have created a masterful show and know exactly where they are going with it.