Or at least hint on something each episode that the plot can build towards.
They do have that though. The mystery of Coulson's resurrection for example. That's the problem though - they only hint, and it's the same hints over and over without any real progression so far. :p
I've mostly enjoyed the series so far but I think it would be so much better with a higher degree of serialization.
It would also benefit from Joss Whedon on board as an actual showrunner but alas, he's busy with Age of Ultron, of course.
The recent episode - it's funny how it was marketed as a Thor 2 tie-in but didn't really have any ties with the movie whatsoever, apart from "this week's macguffin is Asgardian" and the first five minutes which were completely unrelated to the rest of the episode.
I kinda figured it might be like this, so as to not spoil anyone who hasn't seen The Dark World yet.