The first episode incorporated four of his characters in different situations, sort of like the way Chappelle's Show ran (since they made a reference to it, I will, too). The first episode featured Walter and Jeff at a couples therapist, Achmed doing stand-up comedy, Peanut on a date with Brooke Hogan, and Bubba J meeting a man who likes guns and beer. Again, like Chappelle's Show, Dunham introduced the skits first while doing some comedy through the form of ventriloquism.
The whole show flowed smoothly, and the comedy was pretty good. I came in with a really open mind, so I definitely laughed out loud a few times. The thing that bothered me, which I guess had to happen, is when the puppets were standing alone without Dunham's hand in their backs. The puppets still moved, so I am guessing they filmed the scenes with Dunham beforehand and then digitally removed him rather than just animated the characters. It was weird to see them without their puppeteer on screen, however. With the skits created for the show, the characters were able to go outside of their usual roles of just talking, but they still stayed true to their personalities.
While I'm worried about the characters becoming stable with only a stable of seven available right now, maybe this will allow Dunham to try out some new ones and see if they stick. It looks like there should be a lasting audience as long as the material stays good. Finally, take a look at the size of that live audience! I will be looking forward to upcoming episodes of this unique show, which airs new episodes at 9:00 on Thursdays, repeated at 10:30 and various other times throught the week.