The Penguin might be a den of thieves, but Cristin Milioti is the one stealing the show. Every episode seems to reconfirm what we already knew: she's the smartest and most dangerous person in just about every room she walks into. She's truly becoming a force to be reckoned with. But this is Vic's episode. Spoilers follow for The Penguin Season 1, Episode 3, "Bliss."
"Bliss"

My biggest issue with The Penguin continues to be its reticence to acknowledge that they live in Gotham, a city prowled by a vigilante in bat-themed body armor. This reluctance is a growing problem holding the show back more and more each week. I'm not suggesting that Robert Pattinson should appear in or out of costume, of course. A lot of what's happening here is happening behind closed doors, and the beginner Batman of this series doesn't have the resources or ability to track stuff like that. It wouldn't make sense.
But he should still be present. The show has multiple instances of radio and television broadcasts talking about the state of the city. Why not mention him there? Or go down a similar route to that used in The Dark Knight: this weirdo in a bat-suit came out and rescued the city from a weirdo in a green jacket (kind of). Wouldn't some other weirdos latch onto that and do something? Graffiti the Batman symbol in the city. Stage sandwich-board protests (you know--those signs that people wear on their chest and back, supported by shoulder straps, that say "the end is nigh" or whatever) about the terrible truth behind the Batman. Where's the Bat signal that they made a big deal of showing in the movie?
Instead, it feels like the writers are terrified that if they so much as mention the caped crusader that we won't take their crime drama seriously. Like maybe making a Batman show just happened to be how they would get their idea for a crime show made.
HBO's Gangster Show
Without the presence of Batman, what this instead feels like is a Sopranos homage. What if I told you you could watch a show about a balding, overweight mobster, set in a New Jersey city? The show airs on HBO and it's filled with strong performances, especially among its primary cast. It humanizes a career criminal in a way that makes him easy to root for despite the bad things he's doing. The Penguin's logo kinda looks like the Sopranos logo. It's not hard to find other analogs to the seminal gangster show, as SlashFilm points out.
They're doing something interesting and then immediately undercutting it by essentially implying that comic books are for silly dumb babies. If you think that comics are for silly dumb babies, that's fine. But why are you making a show based on a comic book if you're ashamed of its roots?
Okay, rant over. Let's talk about the show. Thanks to the stellar performances of the main cast, it's still a blast to watch, even with my misgivings about the premise.
Vic's dilemma

Vic is very much the main character of this episode. He ended up in Oz Cobb's employ by sheer circumstance and at the end of a gun. Sure, he was trying to strip a Maserati of its external hardware, but again, that was a matter of circumstance.
This episode finally acknowledges, kind of, that The Batman happened. We flash back to a moment in Vic's life just weeks ago when he stops at his parents' place before watching fireworks with his friends. Those fireworks, of course, coincide with the Riddler's bomb vans set around the Gotham City sea wall. This is an important moment for the Batman Epic Crime Saga because it's showing us how the Riddler's actions affect the regular citizens of Gotham in a visceral, sympathetic way. Vic has to watch from the top of a building a block away as his family is killed (probably) instantly.
This episode is about his journey from being a victim of circumstance to being someone making a decision to live the life he's stumbled into. There are two great moments in this episode that help establish that. Despite Oz basically holding Vic hostage, he treats Vic with a kind of respect he's not used to. They're at a restaurant ordering some food, and Vic's stutter kicks in hard. The waiter tries to help Vic through the stutter by finishing the word (don't do that, y'all), and Oz puts him in his place, telling the waiter to let Vic say the words he wants to say and not rush him through them.
While Vic's impairment might not be as visible as Oz' waddle, this demonstrates to Vic that Oz sees him. We're not so different, you and I, he's suggesting. He's telling Vic that he deserves to be heard and listened to, that he deserves to take up space. That alone makes him someone Vic, otherwise alone in the world, might want to look up to.

In another moment, when Oz and Sofia are selling their new drug, a cop takes notice of a young man of color sitting in an expensive-looking car in an illegal parking space. In other words, he looks like a cartoon hunk of meat on a spit over a campfire. The officer hasn't even noticed the drugs yet. This could be a massive disaster for Vic, giving him a criminal record, losing potentially millions of dollars in product, and putting him on the bad side of two people who have demonstrated a willingness to murder without hesitation.
The big moment comes when the cop finds the remaining half of Vic's first real payment from Oz in his pocket and asks Vic what he's doing with so much money on him. Vic stops for a beat and sees the whole structure of this moment clearly. "What money?" he asks the officer. He didn't freak out, he didn't beg the officer to take the bribe, and he didn't say it was a bribe. He said the right words in the right way. It cost him, but this moment steels his will. While the failed jewelry plant may have scared Vic, this moment tells him that he might be fit for the gangster life--that power and money are within his reach.
It makes it all the more sad when he, instead of escaping to California with his girlfriend, decides to stay in Gotham.
While this is Vic's episode, Sofia continues to be a major presence. While Oz might be trying to use her in this moment, it's clear she's in charge. She has the power and she sees through his game. Later, as they share a cigarette, they talk about the way Oz outed her. In other words, he was in some way responsible for her being thrown into Arkham and being named Gotham's Hangman. And then they're being held hostage by the Maroni family, Vic saves the day with some quick thinking, and Oz escapes without Sofia. I cannot wait to see how that move goes down.

Oz, Sofia, and Vic are three people pushed out of society: a crippled gangster, an "insane" ex-con, and young man whose life was destroyed by a disaster. The stakes aren't that different for any of them. Whatever they're doing has to work, or they'll have nothing (and probably be dead). It makes for great character interaction. I just wish they'd talk about Batman for like ten seconds.
Disclaimer: HBO provided Batman-News with early access to The Penguin episodes for the purposes of review.
