There's only a couple of things that confused me a bit about the episode. I'm not entirely sure I understood what was happening at that beach burning thing; some religious thing, but the significance of it was kind of hard to grasp (for me at least). It seemed like "zomg, she is making you renounce the accepted religion and now we're filthy pagans."
The other thing was that one dothraki (sp?) guy daenerys sent off. "Blood of my blood"? I don't remember this guy from before and suddenly he seems important.
I don't think the whole bastards thing was particularly hard to understand. Joffrey talks about bastards, then we see a baby shishkebab, and suddenly a bunch of kids with brown hair are being murdered. I was a little surprised by how many there were, but the dude had been screwing prostitutes for years on end.