^ Fate Zero's ending serves two purposes; one to bookend and encapsulate the pessimistic/nihilistic themes of the show, and to set up events that would lead into FSN. That's why its not conventional as a regular ending should be.
On the subject of which Fate anime to start off with, just start with the original 2006 FSN. People say it isnt good because it tries to mash all the VN routes into a 24 episode anime, but for those who don't know anything about the visual novel, the anime does a pretty good job immersing you into Type-Moon's world and rules for when/if you decide to go into the other series' later.