See, the pilot is a two-hour special that, as far as I can gather, was filmed, and maybe even aired, seperately to the first season. So, when I started watching episode one of season one I was actually coming in at episode two.
The show itself is actually (so far) a pretty straight-forward story, everything makes sense. The David Lynch weirdness just comes out now and then in how the characters act, or a line or two of dialogue.
Anyway, the show is good so far, and although someone told me it was worth watching for Sherilyn Fenn, I think the performance that's really got me hooked is Kyle McLachlan as Special Agent Dale Cooper. It's a performance that, for some reason, keeps reminding me of the actor Garret Dillahunt, who you might know from The 4400 or Deadwood (in which he played two characters).