Most of the jokes in Lucky Star are ones about japanese grammar and culture and also about otaku, anime, doujins and stuff like this, especially Haruhi and Full Metal Panic. Reading this you can probably see that this anime is good for people that have watched some series and know basics of japanese culture, language and standard motives in anime. Characters in this series are introducet to the end, for example girl who draws doujins and is a base of most yuri jokes is introduced in like 16th or 18th episode, suprisingly close to the end of series.
Some little tips: if you want to watch this and you're new with anime, just watch Haruhi Suzumiya no Yuuutsu and Full Metal Panic, especially series Fumoffu. With these two you should understand most of the jokes in Lucky Star. There are also references to Code Geass and many more, I also probably didn't get all the jokes, but still I understand why this series have cult around them (god, I hope it doesn't sound oddly in english). Ok, that's all. Go, watch, enjoy!
