Nick,
Great question. We post the episode list in multiple formats because different people prefer to learn different ways. Personally, I like to learn in the order of the objectives so I would recommend the "Exam Objectives" view. Using that view ensures that I am studying similar concepts together, as opposed to jumping around from concept to concept. However, some people prefer to watch the shows in the chronological order in which we recorded them which is where the "All Episodes" list comes in. The only issue with this method is that we don't always record shows in a logical order. We may choose to record a particular topic one day because we have the equipment available in our lab, or we might skip over an objective because we are waiting on a particular piece of equipment to come in or get configured. As a result, watching them in chronological order can be confusing for someone just starting out.
At the end of the day, it comes down to whichever method you prefer. We are currently working on a system to help you track which episodes you have watched and which ones you have not which we hope to have ready in the next few months. Until then, you can use your web browser's history function to see what episodes have already been viewed. If you have followed a link in the past, the web browser should render the link in a different color than a link you have never visited before.
I hope that helps,
Don