You want cliffhangers? How about: Dean Winchester sold his soul to a demon to save his brother Sam. The deal was, Sam would come back from the dead whole and unzombied, and Dean would get one more year on planet Earth; once that year was up, he was damned for all eternity. Sort of a crap deal, really. Fortunately the Winchester boys weren't completely without recourse. Hunting demons–and spirits and vampires and werewolves et al–is their job, and they've been doing it since they were out of short pants. Breaking devil deals may not be the easiest thing in the world, but a whole year gave them time to maneuver and ample opportunity to save Dean's soul.
Or so they thought. But at the end of last season, the year was up, and the hellhounds were calling. The boys managed to track down the demon that held Dean's contract, a nasty customer named Lilith with a mad-on for Sam and a penchant for recreating classic Twilight Zone episodes. In the ensuing confrontation, Lilith gained and lost the upper hand when Sam's true powers revealed themselves; unfortunately, the revealing happened a little late for poor old Dean, and he's torn to shreds. The last moments of "No Rest For The Wicked" have our hero screaming for mercy, trapped in Hell without anyone around to hear.
Supernatural isn't really a great show. I love it to death, no question, but it can be pretty cheesy; it can also be overly formulaic, clumsy, and way too reliant on characters saying how they feel instead of simply feeling it. ("That makes me so angry!") But even if it isn't consistently stellar, I would argue that at its very worst it's still a solid show, especially from the second season on. You can view it as a throwback to eighties genre TV; the references are pretty shallow (although there are moments), and the monsters familiar (although there are decent twists), but at its best, it's charming, funny, and surprisingly addictive.
The series has two big assets: its mythology and its leads. The first season largely flirted with back-story–the Winchesters were teaming up because of the death of Sam's fiancée, a death suspiciously like that of his and Dean's mother years ago. It was murder (hard to argue "forced up on the ceiling and then catching on fire" as natural causes), and the man behind the murder wasn't a man at all, but a monster they simply called the "yellow-eyed demon." With the help of their father, they finally managed to track down the nasty thing and resolve the problem at the end of season 2, but by this point, there was a whole new can of worms; a hell gate had been open, releasing a hundred new demons into the world, and Sam was developing some strange powers that seemed to be connected with those demons. Plus, the whole soul-selling bit.
There's more than that, but suffice to say, while it's not as mind-bending as the goings on in Lost, it's well-handled. While it's clear a lot of the twists were developed as the show ran on, they rarely feel loose or forced. Plus, it doesn't cheat. Sure, you know that Dean isn't going to stay in Hell, just like you knew Sam wasn't dead for good; but there are consequences, which is really all that's required.
And then there's Sam and Dean, as played by Jared Padalecki and Jensen Ackles. The two actors don't have the widest ranges in the world (although Ackles keeps surprising me), but they're very good at what they do, and the best scripts work to their strengths. Plus, they have a solid chemistry that makes even the hammiest of conversations feel at least a little real. (Poor Padalecki usually gets saddled with the worst stuff; he's actually pretty good at it by now, although I wish he'd stop doing that swallowing trick he always does whenever he's trying to indicate strong emotion.)
So, "Lazurus Rising" opens season four, and Dean is back from Hell. His body is healed; unfortunately, he's still buried in a pine box in the woods, but he breaks out without too much trouble and starts reconnecting with his old life. Bobby and Sam are both initially suspicious, but Dean eventually convinces them he's the real deal. The problem is, since Sam didn't actually make any contracts to get his brother free, who pulled Dean out of Hell? And what do they want from him?