It's a sci-fi show that some have compared to The X-Files, which I never watched, so I don't know if the comparison is appropriate. It features special FBI agent Olivia Dunham investigating strange happenings that appear to be unexplainable by conventional science. Her team includes Walter and Peter Bishop, a brilliant but emotionally and socially disturbed scientist and his almost equally brilliant but somewhat rebellious son, who help her crack these cases using "fringe science". Pretty much each episode has a complete story arc with a beginning and a conclusion in which the "mystery" is solved, but the story fits into a larger arc in which bio-terrorism and government conspiracies and the like are explored, and these events fit into a pattern of strange occurrences that can be traced back many years.
The good thing about it is that it's not just one endless story (like Lost, Heroes, and others), but each episode can stand on its own merits. However, the overall story is going in a specific direction, and in order to put everything together, you need to know what has already happened, who certain characters are, etc.