In my review of All-Star Superman, I mentioned it would likely be the only time I recommended checking out an extra before moving on to the feature. I was wrong. It's not an "on-disc extra," but I recommend reading the included art book before jumping into PandoraHearts. The story is clear enough you won't get lost, but the book fills in a lot of subtext. It's not mandatory, but some aspects make a little more sense with the added knowledge. Besides, the book has some killer artwork to whet your appetite.
Where to begin with the story? PandoraHearts is every bit as confusing as Alice in Wonderland or Alice Through the Looking-Glass, the series' semi-inspiration. Confusing probably isn't the best word, but there are a lot of moving parts and references. Explaining one part requires explaining another, so check out the Volume 1 review for reference.
In Volume 2, Oz and Gil enter the Cheshire Cat's home realm to rescue Alice. Things don't go as planned and Oz is left to the mercy of the Cheshire Cat. Jack swings in at the last minute and details the Tragedy of Sablier, which helped kick off the events behind the series. The story is enough to send Oz into a frenzy, causing him to use the powers of B. Rabbit. Oz nearly destroys Cheshire's realm, but is stopped by Gil.
Once things settle down, Oz becomes obsessed with solving the mysteries behind the Tragedy of Sablier, bringing him into contact with the other four Dukedoms and the Will of the Abyss, which seeks to destroy Alice.
As with Volume 1, the first few episodes are hard to follow, though things begin to click much sooner with Volume 2. Although the mysteries are entertaining and provide a nice hook, character interactions keep the story moving. This is where the art book comes in handy. It offers background information on each character, which in turn strengthens their relationships. As with All-Star Superman, I'm typically against needing outside info to understand the plot. Here, however, its just added lagniappe and by no means vital.
It takes the long way, with lots of twists and turns, but PandoraHearts: Volume 2 is a great payoff. The only downside is the series ends here, leaving several mysteries unresolved (there is, however, an ongoing manga continuing the story). Even with the loose threads, the ending is satisfying enough to warrant a purchase.