For the life of me, I'll never understand why Fox chose to show "The Train Job" first instead of the Pilot. That's probably one of the reasons I didn't give this show much attention when it originally aired. "Cowboys in space with wooden furniture and trains..." seemed a bit silly.
The Pilot - Serenity - does quite a bit to establish the necessary details of the series. Settlements on numerous worlds hosting colonists with literally nothing more than the clothes on their back (thus explaining the simplistic furniture), a defeated soldier turned smuggler, and the whole Simon/River story which is the real core of Firefly.
One thing I caught last week (or was it 2 weeks?) when I watched "Serenity" was Book's reaction at the end of the episode. Book is noticeably disturbed, as any good religious Shepherd would be, at the killing of the Fed agent and how Mal and the crew live just outside the law. Yet, later, we'll learn that Book wasn't always a noble religious shepherd. He's had a dark life. The later fleshing out of his character kinda contradicts this scene in "Serenity." Book shouldn't be having a crisis of conscience.
Of course, he could be acting in order to preserve his cover.