Well, over the course of episode 2, we learn more about the world, who the villain is, what our objective is, and who all has joined up with Yugo on his quest. First up, we have Sadlygrove Percidel, who has a talking demon sword that likes to possess him when he isn't careful. For the time being he is an arrogant blowhard who's into damsels in general, and Evangelyne in particular. Evangylyne herself is a skilled archer and bodyguard to Amalia Sheran Sharm, a princess with nature powers who seems to use her communion with her patron god as an excuse to get out of the palace and running into Yugo was more of a lucky stroke than anything else...so far. Ah, and Ruel Stroud, cantankerous miserly old man who dresses poorly as cover for his substantive hoarded wealth. By and large, an amusing group, though at present Yugo continues to be my favorite for the time being.
After 2 and 3 get us on our way, 4 and 5 are pretty much isolated 'village of the day' type adventures without any particular contribution to the larger story or characterization. Though, episode 4 does indicate that it is not uncommon for the gods to walk around in mortal guise and curse those who displease them greatly. Not unlike the sorts of stories you got with the ancient greeks, especially with Artemis and Arachne.