Honestly just start from the beginning - the earliest few shows available are quite short (they're in the 20 minute podcast format that the BBC used at the time), and by that point, if you like it, you'll be hooked enough to listen to the full length episodes. I do think the show's best days were at the beginning, on 6 music - the show was more free, less bogged down with features, had a real warmth to it, and had fewer celebrity interviews, which were usually the worst part, whether Russell was trying to impress the interviewee or take the piss. Also Trev was there.
That sounds very criticial - I should say, the show was almost always great, right up to Matt's last episode, but those 6 Music shows did have a certain magic that was lost a bit when they went to Radio 2 and when Russell went to Hollywood. Through it all, though, the wit and warmth and chemistry that Russell and Matt have (and Noel G and Mr Gee too), always makes for joyous, hilarious radio - it came through in those XfM shows, that were a real mess in so many ways. I can't bloody wait.