Yeah, def watch the first 3
JadedWriter mentioned. The OVA's are unessential, but all very good. There are movie versions of Zeta that are fine from what I can tell. Others here may say that's a mistake here, but it'll get the job done to just get you to Unicorn quickly. ZZ seems unessential and often ignored, honestly. I've not watched it yet, so someone else could weigh in on how needed it is. I'm rewatching Unicorn myself and haven't seen much reference to ZZ made. More Zeta and Char's Counterattack than anything else.