Go backwards, leave the 2 "complete" concerts - RIO/AUSTIN - for last... Seriously, the special features have so much to see in them it's best to be a bit excited and wide awake, the concerts are shot great with great sound but you already have an idea of what you're gonna see, Disc 3 and 4 has tons of little funny and wonderful moments to take in....
My home entertainment system allows me to avoid making this wrenching decision. I have four large TV screens side by side, each hooked up to its own DVD player. I just cued them all up at once and drowned myself in the cacophony.
Just kidding, lest anyone out there take me seriously.