Not absolutely, but each subsequent episode answers some questions posed in the preceding episode, and the final episode resolves remaining issues. Think of it this way: do you need to watch the first half of any show, or could you save yourself a lot of time and only watch the last half of any TV show or movie? And would you enjoy the program as much? If so, don't watch any Transformers, Spider-Man, Avengers, Iron Man, Harry Potter, etc. except the last one, and you'll have so much more free time!
The answer is that FBI: Most Wanted, Season 3 Episode 1 is actually a continuation of a story that starts with the show FBI, Season 4 Episode 1, which was shown the same night. Both series serve as introduction to the three part crossover event of the evening, concluding, and resolved with, the new show, FBI: International, Season 1 Episode 1.
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