Netflix's a fantastic soundtrack.
The show thrives on being surprising and shocking with each new scene, but there is also a fair amount of foreshadowing in the first episode for both season one and season two plot points.
Alone But Together
The iconic dance scene the uniquely different characters have in the first episode visually portrays the way the Umbrella Academy siblings have always interacted with each other, alone but together.
The siblings could interact and overcome their childhood traumas and be stronger together, but the first season shows all of their lives leading up to going home individually showing their separation. And despite being in the same house and together, they all dance in different rooms, segmented by walls, to the song "I Think We're Alone Now" by Tiffany.
Vanya Has Powers
Vanya and the other siblings say again and again that Vanya does not have powers, and it's not physically seen until near the end of the first season.
There is a small moment in the pilot when Reginald is tracking and monitoring the children as they sleep and he is shocked by something on Vanya's readings.
There's Something Off About Their Mother
There are a few moments in the pilot that lets the audience know that there is something off about the siblings' mother, Grace. She is smiling and happy, acting like nothing is wrong, even though Reginald has just died days earlier.
Grace even forgets that Reginald had died and Diego says that she is fine, she just has to recharge. It's revealed later in the first season that she's a robotic invention of Reginald's and more secrets are revealed about her in the second season episodes.
Diego's A Vigilante
Diego is shown saving a family from an armed robbery in the first episode and when he returns to his home he speaks in typical police jargon when he discusses their father's death with Luther.
He says he already checked the room and perimeter, finding no forced entry, and stole his autopsy report. The pilot gives a small glimpse into Diego's powers and vigilante hero complex nature that he upholds throughout the first two seasons.
Vanya Is Russian
The pilot begins with a woman suddenly becoming pregnant in Russia and giving birth to a baby that Reginald Hargreeves buys to build his Umbrella Academy. Only one pregnancy is shown, and most likely it is Vanya's given her name being of Russian descent.
Her being Russian doesn't matter in 2019, but in the second season, it makes the FBI immediately suspicious of her. She doesn't have her memory, but she is able to speak Russian, and although this is most likely Reginald's teachings, Cold War tensions were high in the 1960s.
Reginald Is A Master Manipulator
This fact is proven by the flashbacks of when the kids were young and how Reginald withheld any type of love for them as children. Both Diego and Luther are immediately suspicious of their father's death and while Diego wouldn't be surprised if it did turn out there was something off about it, Luther holds onto hope that there's a mystery to solve.
The way that Reginald conditioned his children through his manipulation is introduced in the pilot and brought up throughout the series as more is revealed about Reginald's origins and secrets from his past.
Klaus And The Fire Extinguisher
When Five jumps in the portal and travels back to 2019 to his family, Klaus is shown wildly throwing a fire extinguisher through the portal, and in the pilot, it disappears. It's not brought up again, although the siblings are all confused as to why he threw it.
At the end of the second season, the other side of where Klaus threw the object is shown and it turns out that it made a huge impact on Luther and Five.
Luther's Unwavering Faith In Reginald
Even in the first episode, Luther is pretty blinded by his need to follow his father and believed every single thing Reginald told him.
This is a pretty defining characteristic for Luther in both of the seasons and it was introduced very quickly in the pilot that Luther defines himself by how Reginald sees him and whether or not he is making his father proud.
There Are More Children With Superpowers
The narration at the beginning of the pilot episode, and a line later from Reginald, tells the audience that the Umbrella Academy children weren't the only ones born under magically odd and extreme circumstances.
This plot point introduced early on doesn't come into play until very late in the second season.
Allison And Ben Don't Like To Use Their Powers
The first episode sees both Allison and Ben not wanting to use their powers. Ben groans as the academy thwart a bank robbery in a flashback when they make him use his powers, which remains a secret until the end of season one.
Allison not liking to use her powers, as she tells Luther it always leads to trouble, is more of a plot point in the series.