It depends. Season 5 has been announced to include a character reboot--no transfers from Season 4 (except Prime Runners, who can only play in Prime Runner Missions, once one actually drops). Once Season 5 starts (at Origins), you'll pretty much be limited to Season 5 Missions at cons.
If you just want to play (a home game), start with any season you like. But if you're looking to play the same characters all the way through, you might think about starting in Season 3 (or maybe even 2, which is downloadable from the SR website, but you might hit the "promotion" threshold going into Season 4 if you play all of Seasons 2 and 3).