I loved this episode. Really I can't believe how good this series is all together. I agree with thuganomics85 that the arrest/release of Malvo was pretty low stress, but I assume it was done to show us a little more about why Malvo seems to think he's invincible. Answer: It's because he pretty much is, at least for now.
Poor Lester continues to shoot himself in the foot. First he didn't report his car stolen when that would have obviously been a much better story than what he came up with. And second he didn't concoct a way to explain the gunshot wound in his hand. One of the main characters being a bad liar is a nice call-back to the movie.
Speaking of which, I loved the scene with Milos finding the stash from the movie. It's the perfect discovery, as (spoiler from the movie)
That of course explains the Jesus-like picture of the ice scraper hanging in Milos's home/office (I forget where it was specifically): http://i.imgur.com/0j5XY8I.png
I watched 24 last night, and while it was OK, overall it just seemed silly. I think shows like Fargo, Breaking Bad, The Americans, etc have set my expectations so high that a lot of shows that would have been more enjoyable a few years ago just aren't working for me now. This is the first show in a long time that I absolutely have to watch on Tuesday night. I can't wait for next week. I skipped the "next time on" clip to stay fresh. :)