The first season of 24 did this well too – it initially only had 12 episodes, so they planned out those episodes, with a way to finish the story early if necessary (Gaines would have just told Jack the story before Jack killed him). But in subsequent seasons it was clear they didn't really have much of a plan. Hopefully the new mini-series coming up next year will be more focused and tightly plotted because they have fewer episodes.
Never actually watched the show. Should I check it out? More to the point, what parts should I specifically avoid?
Yes. The first season is surely one of the best seasons of television ever. What B5 did for SF and The West Wing did for political dramas, 24 did for the action thriller. Acting, scripting, direction, cinematography is all top notch. Subsequent seasons can't quite as consistently match the quality of the first season and some seasons have a bit of a lull in the middle where you can tell the writers either aren't sure where to take things or are treading water a bit (seasons four and six in particular, but both those seasons start very strongly and end strong) and occasionally you have to suspend disbelief and run with things, but the only season I would say was poor was season eight and even that has its high spots.