I think they're all great, and definitely recommending seeking them out. I prefer seasons 1-2, story wise, but the 3-4 are also very clever, and further develop Saga's character in poignant ways.

Kim Bodnia leaves after season 2, and is certainly missed, but Thure Lindhardt, who replaces him in seasons 3-4, is also excellent, and a more complex, less trope-based character (though he does have a traumatic past).