When I was little I was confused by the fact that it was set on such a strange street with those big wide steps and huge buildings (I lived in a cul-de-sac in a village in Kent) but gosh did I enjoy that show.
Ah, Oscar, crabby brother of my heart.
I was also confounded by the "don't walk" road-crossing segment featuring a groom trying to reach his bride on the opposite path, actually. Curse you, cultural divide! Or should I say.. thanks Sesame Street, for making me interested in things I didn't understand?