Beyond the spoiler-y bits, the big take away is that you have to think of this as a graphic novel adaptation of Gaiman's work... except that it's a graphic novel that is animated with live action.
It's a graphic novel based on how they've chosen to shoot the scenes, the verisimilitude of what we are seeing and hearing and the subject matter at hand. It's not going to make everyone who read the novel happy, nor will it be a typical viewing experience for those who prefer episodic dramas. The events of episode 3 are going to make a lot of people uneasy and that's okay. I just hope people give it at least a full season to appraise one way or the other.