After playing Bayonetta 1 I recall being able to make some level of sense of the events of Bayo 1. Maybe that's just me and I'm weird though.
Bayo 2's story on the other hand was even more of a cluster fuck than Bayo 1 and even I couldn't work it out. >_>
At the end of Bayo 1 I was just like so Jeanne is actually a brainwashed good guy? The girl is herself form the past that has been sent to the future so she can inspire herself to activate a power? So Bayonetta was inspired to not be sealed away and awakened the eye, which also awakened the eye just now although what we were affecting was child Bayonetta and the eye was activated as an adult later? Is that an alternate timeline? This dude is her dad? Why does he even want to unite the trinity of realities? Did the left eye help Bayonetta do anything in the final battle? etc.
And that was just the ending. During the whole game I was like "wtf is even happening?" lol. In Bayo 2 it's just 1) get to hell to save Jeanne and 2) help Loki get to the mountain. I guess I can see confusion when they drop the "Loptr killed your mom and the angels tricked Balder into starting the war, then pulled Balder into the future to start the plot, which is actually his past before the events of the first game." But the general events is very straightforward, especially because you have specific goals. In Bayo 1 it's basically about figuring out wtf is even happening, and all of it is dumped on your ass by Balder.