The whole point is to be thrown in at the deep end, because this is what's happening to Shadow, so the viewer shares his journey to make sense of it all. The book was the same, although i don't recall it being quite as trippy as the adaptation (but I rather enjoyed the extra weirdness).
The premise will make itself clear and the plot will solidify as it goes along, but part of the fun is working out who is who and where they fit into things. It's refreshing to have a series where the plot isn't spoon fed and telegraphed. And the moments of dark humour are wonderful, but that's a trademark of Neil Gaiman's writing.
I thought the casting was pretty good for the most part, especially Ian McShane and Ricky Whittle who portrayed Shadow's empty, shell-shocked state pretty well.
The only thing I wasn't keen on was the opening music, it's way too jarring and doesn't set the right mood (unlike, for example, the opening music for Black Sails or Vikings). Thankfully the varied Americana soundtrack used throughout fits much better.