You should buy or rent the DVDs (or tapes if you don't own a DVD player) and get into the show. I love the show, even though I've only seen season 1 and 2 (no HBO). The shows really flow together, and it's not a stretch to say that you can watch about 6 hours of the show in a row before you realize that you've been in front of the tube for that long.

I don't know how HBO airs the shows, but as far as I know season 3 has already been completely aired and I guess they're just showing reruns now.