You've watched three episodes? ... and want us to fill you in with what happens over the next six seasons so you don't have to watch them?! 
Season 1, in truth, takes some beating. The climax is fantastic with his Mum and Uncle June both gunning for Tony, literally.
After that I just think of who's new in each series and picture that series as being synonymous with them.
For season 2 there's Richie Aprile and Tony's sister Janice, then for 3 it's Jackie Aprile Jr becoming a man, season 4 it's Ralphie being an all-round cock, and then season 5 is all about Steve Buscemi. Then there's just LOADS going on in season 6, pts I and II.
There are some truly excellent episodes to look forward to though - "Pine Barrens" takes some beating. It features, basically, just Chris and Paulie lost in the woods and was actually directed by Buscemi himself.
And the opener "Members Only" for Season 6 is my favourite episode of the lot. Begins with a narration by William S Burroughs talking about the seven levels of the soul in Ancient Egypt or summat. Pretty hi-brow stuff. Also has a shocking ending with an attempted 'hit' on Tony. Oh, and the "best hanging I've ever seen on TV" as my mate Goat emailed me to say from the States after he saw it ... then emailed 10mins later saying, "I can't believe I just typed that!" 
EDIT - this got me thinking after writing this so went and googled for other people's top episodes. Lots of opinion out there on the net. "College" appears very highly in most people's list - you're gonna come across that dead soon as it was in the middle of series 1. Really shows the marked difference between Tony's two 'families'!!