I prefer them in the proper order. They only did it out of order for the anime because they wanted to have a certain flow to it so it doesn't do things like end with Kyon walking with a heater for 30 minutes in the final episode. Out of order let them hit highs and lows for television standards.
It's like Lord of the Rings movies. The extended editions are long ass and would fucking suck sitting in theatres for 4 hours watching, but are a godsend on DVD.
Same with in-order Haruhi, especially if you've read the light novels,w hich the average non-moon speaking /a/ weeaboo probably hasnt unless they found some shitty fan translation or some shit.
You can always watch them out of order if you feel like it. No one is stopping you from putting a new disc in except your own lazy fat ass.