If you want to start from the beginning, I highly recommend renting the first season. If that gets you hooked, you won't regret buying up to the current stuff.
Stargate has tons of stuff going for it. You've got some great acting, characters you really grow to care about, and stories that aren't just rehashed sci-fi fare (usually). The military aspects are very well done, to the point where the (then current) head of the Air Force even agreed to do a cameo for an episode!
If you want to know the back-story, rent the original
Stargate flick, and that will give you the basic concept. The pilot episode then expands on that, and shows you just what the evil aliens are, how they're so powerful and how the travel through the gate works. It's mostly an episodic series, so if you miss some things you're not terribly confused... but it holds together well, and the writers do re-visit older plot hooks from time to time.
Plus, it's just fun.

The banter between characters is great, the action is well-done, the FX worked well and the plotlines are entertaining.