No. No no no no no no. Don't watch it. It's bad. Very very bad. Read the manga instead. That's actually what's supposed to have happened. The anime doesn't have Zefie, and goes on a different route than the manga =/
Anyway, the order that you want to go in as far as American releases of .hack go would be (Providing you want to get it in the chronological order):
.Hack//AI Buster (Vol. 2 makes references to Twilight, be warned.)
.Hack//SIGN
.Hack//Infection&etc (The first set of games)
.Hack//Another Birth (Follows the games, from BlackRose's POV)
.Hack//Legend of the Twilight
.Hack//Roots
.Hack//GU
...I think I got them all. Anyway, something like that. There's more .Hack media... in Japan. That's just what we have here in the US =/ You don't HAVE to get it all in that order, but that's it chronologically. You could probably get away with playing the three GU games in order, and then going back to see the rest of it, but yeah, some things will get spoiled.
For the record, as much as I REALLY REALLY REALLY want to get Tales of the Abyss, I'm holding out to get GU3 before I save up for it >>; I need to manage my money better.