In the pilot episode, Mac and Connor were shown mourning over a slaughtered Native American village. This episode tells the story of why Mac was there and why he tried to leave The Game.
From the dialogue between Richie and Donna, one could get the impression the character Donna had been a previous episode. The fact is she has not been.
This episode is the first appearance of Joe's Bar, later renamed "Le Blues Bar", which would become one of the primary sets of the show.