Well, as a huge fan of Colby... I'd say any episodes with him in it are good episodes to watch.

But as far as "introduction" episodes:

Season 2:
01 Judgment Call - where we first meet Colby
07 Convergence - just because it's funny
09 Toxin - we learn about where Colby is from
18 All’s Fair - learn a little more about his military background
21 Rampage - a very Colby-centric episode

Season 3:
17 One Hour - a must see
19 Pandora's Box - a different side of Colby

Season 4:
03 Velocity - more about his family
11 Breaking Point - a good Colby episode
13 Black Swan - because Spy!Colby is awesome
15 End Game - more about his military background

Season 5:
07 Charlie Don't Surf - because he's in a wet suit
08 Thirty Six Hours - because he's just awesome