As a Shakespeare Newbie my plan is to read through the plays in alphabetical order. Which I've done for the most part, with a few detours. Most recently, I jumped ahead to King Lear, in preparation for watching the Shakespeare Uncovered episode on the play. I've been trying to go into each play cold, without doing any research ahead of time. But even though I'm only part of the way through the first act I decided to watch the show anyway.
The episode is hosted by Christopher Plummer, who is among the ranks of the many name actors who have played the nutty old king. As a Shakespeare Newbie, I've been mostly reading through the plays, as opposed to listening to them, attending a play or watching filmed adaptations. So one of the first things I noticed was that Shakespeare comes across a lot better when actors are speaking and acting the lines than it does on the page.
Other than that, there's not much to say. Except that if you're looking for a good overview of King Lear, including excerpts of various performances over the last century or so, talking head bits with various King Lear players, and plenty of analysis this would be a good place to start.