The show’s first great episode.

Margaret Schroeder has been through hell. She’s an Irish immigrant who toiled in crummy jobs for years, enduring abuse from her no-good drunk of a husband and losing herself in good books and Temperance Union meetings. Then she lost a baby late in pregnancy after her husband beat her to the ground in front of their children. Then her husband was framed for a gangland slaying, hauled out to sea and thrown overboard; fisherman found his corpse tangled up in a net. Now Margaret is a widow raising two young kids. When they ask her where the baby went, she tells them the stork got lost.

But Margaret still believes in fairy tales—especially the modern ones that sell newspapers. Episode 4 of “Boardwalk Empire” is named for one such object of fascination: “Anastasia,”as in Anastasia Nikolaevna, the Russian duchess murdered by Bolshevik secret police in 1918. Anastasia’s burial place remained a mystery until 1991, and in the intervening years, a cult sprang up around her. Many young women stepped forward claiming to be Anastasia. Newspapers, then America’s dominant media, breathlessly relayed their adventures, giving mistreated young women a fantasy figure they could identify with, and a story with surprising twists and turns.  Margaret identifies with the woman who would be Anastasia and follows her adventures because she knows what it feels like to withstand great loss and endeavor to persevere. If Anastasia can survive and reinvent herself, Margaret can, too. And she’s not completely on her own. She has an ace card: the support of Nucky Thompson. Granted, he’s not an ideal catch. He’s a political hustler, a gangster, and a widower keeping company with a curvy dimwit named Lucy—not to mention that he engineered her husband’s death. But from the minute Nucky saw Margaret, he felt protective of her—so protective that he seemed to think that anyone who would mistreat such a fine woman doesn’t deserve to live. It may not be the healthiest basis for a relationship, but it’s not without its charms.

Cable drama aficionados will agree that this episode was make-or-break for “Boardwalk Empire.” There’s something almost ritualistic about the rhythm of these sprawling, dark, violent cable shows. They build their worlds slowly, brick by narrative brick. And for some reason it often seems as though it all coalesces somewhere around episode four or five, at which point you can accurately judge what the show is doing and whether you’ll get on the train or watch it leave the station without you. Some of the shows that are now recognized as the medium’s great achievements—“The Sopranos” and “Deadwood,” to name just two from this network—didn’t really hit their strides until this point. The fourth installment of “Deadwood,” "Here Was a Man," climaxed with the tragic death of Wild Bill Hickock and the town’s outraged pursuit and capture of his killer. Episode five of “The Sopranos” was “College,” a deft tragicomedy in which Tony interrupts a college campus tour with his teenage daughter to strangle a mob snitch. For all its brutality, “Boardwalk Empire” feels more relaxed than those series, its rhythms more stately, its tone more subdued. Yet “Anastasia” (which was written by Lawrence Konner & Margaret Nagle and directed by Jeremy Podeswa) had a confidence and near-flawless execution that reminded me of those other series-defining episodes, the ones that got me on the train and kept me there. Bottom line: “Anastasia” is the first great hour of “Boardwalk Empire.”

The episode’s success was due in no small part to the Nucky and Margaret storyline, but before I get to that, a few other highlights: There were unsettling scenes between Lucky Luciano and Jimmy’s showgirl mom, Gillian, who seems as though she’s being set up for a knock-off but turns out to be completely in control. Chalky White’s  astounding monologue about his father’s murder by white Texas racists—capped by the sinister introduction of his father’s tools, and Chalky’s “I ain’t buildin' no bookcase”—was one for the ages, a verbal aria on par with the gold watch monologue in “Pulp Fiction.” And the Chicago bits—Jimmy doting on his stunningly beautiful (and soon to be disfigured) hooker girlfriend, and his scenes with the young Al Capone—were superb as well. They showed that Jimmy actually learned something from his experience in the trenches during the Great War: the value of patience. Capone’s solution to every problem is a beatdown; Jimmy is tutoring the volatile Sicilian in the fine art of diplomacy. When you think about the epic life that Capone’s on the verge of leading, you have to laugh at the audacity of positioning a mopey Irish gangster as his Svengali.

But the real revelation in “Anastasia” was the unfussy complexity of the interplay between Margaret and Nucky and the ease with which they come together. As the title suggests, everything comes back to the notion of “Boardwalk” as a kind of bedtime story for grown-ups, one different in style but not intent from the front-page scoops that Margaret enjoys and the comics that she reads to her kids. “Let’s see what mischief Mutt and Jeff have been up to!” she peals. By all means, yes: let’s get to the very best stuff, the unofficial first date of Margaret and Nucky.

Margaret, now an employee of the Ritz Hotel’s dress shop thanks to Nucky’s largesse, is ordered to go to Nucky’s surprise party and help Lucy get dressed for her grand entrance through the top of an oversized cake. But because screenwriters Lawrence Konner & Margaret Nagle have planted the story of Anastasia in our heads, we see Margaret not just as a woman on an errand but as Cinderella, the working class belle of the ball. Nucky’s surprise party is this episode’s equivalent of the prince’s party, a fancy-dress audition for mates. Margaret fills the role as gracefully as Cinderella sliding on a glass slipper. From the minute Nucky spots her in the ballroom and leaves the bar to talk to her—setting down a full glass of booze before making his move, a significant gesture in light of his constant drinking—it’s clear they’re meant to be together and that on some level, they both know it. When Nucky is near Margaret—a well-read woman with principles and backbone—his latent decency emerges. And when Margaret is around Nucky, she seems more vigorous and poised. Confidence makes her radiant.

I can’t remember the last time I saw a great TV couple fall for each other as believably as Margaret and Nucky do in “Anastasia”—or the last time I saw two actors convey that alchemical event as plainly and honestly as Steve Buscemi and Kelly Macdonald. Think of how uncomfortable Nucky looks when he’s sitting at a power table with the senator, Jersey City mayor Frank Hague and their arm-candy dates. Every time Lucy opens her mouth, he can barely stop himself from wincing; it is dawning on him that she’s a plaything, not a mate, and that he’s running out of reasons to pretend otherwise. Now think of how Nucky looks at Margaret, and the hushed respect with which he observes her politely but firmly telling Nucky’s woman-hating fellow politicos that suffrage is a hallmark of civilized nations.  Nucky has never said he believes in suffrage, or even in gender equality, and he’s been known to tell sexist jokes, so I don’t think it’s Margaret’s politics he’s reacting to; it’s her quiet certitude. But that’s something; it’s a start.

The affection is reciprocal. When Margaret’s boss belittles her in the dress shop, she stands there and takes it, repeating variations on “Yes, mum.” But when she’s with Nucky, she says what’s on her mind, and he responds in kind; their mutually respectful give-and-take is unlike any other male-female relationship on “Boardwalk Empire.” They don’t just seem as if might make a good couple; they seem as though they already are a couple—and when they’re out on the dance floor, spinning around like a husband and wife that have been married since Jesus was in short pants, the other guests notice it and smile. When Lucy finally pops out of that cake, half-naked and wriggling, Nucky isn’t looking at her. He’s looking over Lucy’s shoulder, at Cinderella. She just might be the one.

Matt Zoller Seitz is a contributor to Salon and the founder of Slant's “The House Next Door,” where he has written extensively about “The Sopranos” and other series.

For more TNR, become a fan on Facebook and follow us on Twitter.