As I said, I didn't see the first episode, but I don't think you've missed any "set up". So far there are far more questions than answers. And what answers we get only bring about more questions. But it's so much fun questioning.......
That's my fear for the series, that it will become like the X Files....with false promise after false promise of answers, only to lead us in another meaningless direction to the point where, as an audience, we no longer care. A series like this has a definite shelf life before we just get tired of being strung along. But right now, I'm hooked!
Also, in the Mr. Locke episode, the US Marshall was slowly dying and Kate still had his gun. Sawyer (thanks for the names!!!), the jerk, was suggesting that he be put out of his misery and not let any resources be wasted on him. The Marshall asks to be left alone with Kate and the Doc does so. While she is alone with him, it is brought to his attention that she has the gun. As he is running back to the tent, we hear the gunshot. The Doc sees Kate walking out of one side of the tent, dejected. We fear she has shot him. Then we see, she has no gun. We think, she gave him the gun so he shot himself. Then, the Doc sees Sawyer walk out of the other side of the tent, gun in hand. He says, "I did what you didn't have the guts to do!" This is the kind of constant switcheroos that are being played on us. It's not pulling any punches. You've got to stay on your toes. I love it.