Supposedly every service pack includes the fixes from the previous services packs. The most important service pack to install is 4. 5 and 6 are nice and I would install them, but at minimum 4 is the one needed to perform installs of much of today's hardware drivers, and software. So my advice is to install 4+.
 
You also may want to download IE 4... install that with all those web features (like quick launch toolbar etc), then upgrade to IE 5.5. This way you get the most current NT4 possible. Thats what I do when I install it.
 
me:
install nt4
install sp4
install sp5
install sp6
install IE 4 --> web content
install IE 5.5
tweak the hell out of it
install all my software and get the thing ready to go.
i may be forgetting tons of things because it's been a long time... but bare bones, thats the stuff i do first.

As an aside, to get active desktop for my workstations at work (quick launch bar, integrated user/all user menus, etc) I have a modified IE 5.5 installer from the IEAK that I push out to the workstations. I would imagine that a simple registry tweak would do the same thing, thereby avoiding the need to install IE4 first, then IE 5+.