The first book annoyed me (logic goes out the window + I didn't sympathise with the characters much) despite its occassional hilarious sections. The 2nd book made up for all the shortcomings of the 1st book (by explaining everything that was unexplained before) and more, but the ending didn't seem to make any sense, the 3rd & 4th books go further downhill, but eventually it starts to pick up again. I'm not done the 5th book yet.
If you like the humour in the series but think it should fit together a bit better as a story, I'd reccommend any book by Terry Pratchett, best known for his Discworld series of fantasy books (they're the ones with the really bright insanely-drawn covers). The first one in the series ("The Colour of Magic") would be a good place to start, or failing that "Jingo", "The Thief of Time" are my favourites. Stay AWAY from "The Truth"; it's one of his worst books.