...like a movie.
I jumped on the LOST bandwagon earlier this year, and have watched all 5 seasons over the past 5 months to get caught up before the final season. I wouldn't have it any other way. It's the epitome of instant satisfaction. In fact, I like it so much that I recently watched the second season of Mad Men within a week as well.
Of course, since I work from home, there's really no downside at all, since there's no watercooler gossip to miss, talking about your favorite shows the next day. You might have it different.
But, for non-sitcoms that play out more like broken up movies anyway, you might as well just wait and watch it like one.