Wow I finally realize how stupid Fox was, when they decided to use this as the opening episode.
The Train Job is definitely more action packed, but that does not mean the story was shafted; in fact, I like the story better because it further shows everyone's personalities while provide some interesting interactions between the principla cast. We got to know more about the war between the Alliance and the brown coats and Mal was given time to flesh out his character and distingusih himself from Han Solo.
I think for now, the most interesting part about Firefly is that it is about a bunch of "losers" trying to balance survival and integrity; it is the moral dilemma, the witty dialogue and the action that makes Firefly very engaging.
That is not to say that the story in this episode is not engaging, but I still have yet to be fully absorbed by the plot. That being said, I don't think this is Firefly's problem. I remember when I watched Space Seed before re-watching Wrath of Khan, I was not very engaged in the plot because the introduction of various elements need time for them to sink in, and what happened on screen was merely processed in my brain in terms of facts, not in terms of 'what-happened-to-your-buddies'.
Looking forward to seeing the next episode, Bushwhacked.