The pilot episode, "The Gathering", was originally intended as the third "Highlander" sequel, a TV-movie with a two-hour running time. Eventually, the budget was too low and Christopher Lambert didn't agree to star until late on in production, so the idea was scrapped and the episode was edited down to an hour.
This is the only episode of the entire television series which features the character Connor MacLeod. While the character was often mentioned in the series, actor Christopher Lambert made no return appearances. Reportedly, Lambert requested a high fee for his single appearance. It was simply too expensive for the production team to have him return. They could not afford to pay him.
This episode sets the pace for the "Highlander" television series to be set in an alternate universe from the "Highlander" films. In "Highlander" (1986), the gathering of the immortals takes place and Connor MacLeod ends up the last surviving immortal. The episode, and the television series in general, feature the gathering as a future event and there are many surviving immortals. "Highlander II: The Quickening " (1991) reveals the immortals to be aliens from the planet Zeist, a "fact" ignored by the television series and later incarnations of the "Highlander" franchise.
This episode establishes the fact that Connor MacLeod used to be the mentor of his younger kinsman Duncan MacLeod. Their first meeting is mentioned was mentioned often in the series, but not actually depicted. It would actually be depicted in the film "Highlander: Endgame" (2000).
The episode features a flashback to c. 1872, where a grieving Duncan is visited by Connor. Duncan had apparently settled with a Native American tribe, but his entire tribe was slain by white people. The events for this era of Duncan's life were further fleshed out in the later episodes "Line of Fire" and "Something Wicked".
The trivia item below may give away important plot points.
When Duncan is helping Connor out of the river, Connor says, "What of the boy?" Conner is not talking about straightening out a delinquent, he is referring to the obligation of fosterage of a pre-immortal.