Not the OP, but one of the potential selling points of Night Vale is that most of what happens in any given episode requires no previous knowledge of the series, so there's no need to necessarily start from episode one.
What makes it work, in my opinion, is that it's a show where because the narrator and the people of the town(s) treat what's happening around them as normal, rather than as somehow at right angles to reality, so you, the listener, are encouraged to do the same. If you do, you'll find stories about relationships, and squabbles, and local politics, and civic duties and responsibilities, and a lot of small-town life kinds of things. They just also happen to have Secret Police, eldritch abominations, ghosts, shapeshifters, malevolent architecture, a somewhat casual disregard for death and injury, and other kinds of things that are horrifying if you stop to think about them for any period of time, but are perfectly normal to the residents.
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What makes it work, in my opinion, is that it's a show where because the narrator and the people of the town(s) treat what's happening around them as normal, rather than as somehow at right angles to reality, so you, the listener, are encouraged to do the same. If you do, you'll find stories about relationships, and squabbles, and local politics, and civic duties and responsibilities, and a lot of small-town life kinds of things. They just also happen to have Secret Police, eldritch abominations, ghosts, shapeshifters, malevolent architecture, a somewhat casual disregard for death and injury, and other kinds of things that are horrifying if you stop to think about them for any period of time, but are perfectly normal to the residents.