I am sooooooo happy that I didn't start watching this show when it started.......I've watched the entire first season and 4eps of the second season in about 3 days and i am well and truly smitten 
I just can't bear to think about only being able to watch this on a one-episode-per-week basis!
(there's simply nothing better than discovering a brilliant show after it's already 3-4 seasons in and being able to watch it in marathon sessions)
Just finished season 3 myself. Waiting for 4 to come on sale but it looks like it'll be a few months. I marathoned the hell out of it (got them for Christmas, started watching sometime after new year's day, and finished last week, and while I enjoyed doing it I think it's almost worse going cold turkey until 4 comes out on DVD and even worse for waiting on season 5 to come out.
Anyhoo, on the show itself; I have a serious love-hate relationship with this show. It is amazingly well written, acted, directed, and produced and watching it is intoxicating just on those merits alone, but I find myself literally depressed often-times as it's so hard to root for Walt, but also equally as hard not to feel for some of the shit he goes through. Season 3 ended really amazingly (though it should have ended with the second to last episode if you ask me) so I cannot wait to see what 4 holds. I also just ran across the producer's take on the over-arching goal of the story being one of transitioning the protagonist into the antagonist throughout the series run and I have to say that made it a lot easier for me to take in what I was watching. It also made it interesting to view my reactions in light of this new information as clearly the producer's goals of what emotions he wanted to evoke were met.