Personally, I watch them in order.
I hadn't watched DS in a couple of years, but before I went to the fest I decided to start watching it again. So I watched a couple of sets before and since I've gotten back I've been going through the rest of them. Right now I'm on set 16, and working my way towards the end.
I can't watch them out of order....well, I could, but I don't think I'd want to. I want to get to the end again so I have a better knowledge of what happens. I mean, I know a lot of the overall story and stuff, but I don't know some of the smaller details that a lot of other fans know about certain storylines.
Because DS has so many episodes, it's hard for me to remember every one, or which one I like and don't like. The numbering doesn't help, again because there are so many, and so many are the same when you're in a certain storyline. It's not like with the other shows I have--Buffy, Angel, Nip/Tuck etc, that I can just pick a set and pick a episode that I KNOW I like. Yes, the descriptions in the DVD set do help, but I like to start from the beginning and watch them all the way through (that's what I usually do with my other shows), and DS simply takes too long! lol.
This may change when I've finally rewatched the entire series again. Then I might be able to say "1897--Episode 780" or whatever.