ser4, you are not alone. The first two books are completely confusing, though the main story of the second book (The Chain of Dogs) is a pretty tightly contained story. The overarching stories really begin to coalesce in Book 3, Memories of Ice, and it wasn't until I was halfway through that book that I started to "get it". This is a really, really big story, and it is tailor-made for re-reads after you are a few books in. I look forward to re-reading Gardens of the Moon now that I have some clue of what the hell is going on.
The main protagonist begins to show up in book 3. All will be revealed, in time. And the ending of Memories of Ice is, well, just plain remarkable. This being said, this is a difficult style to pierce, especially in such big books, and a lot of readers have been put off by the first book or two, because Erikson admittedly could do a better job of educating the reader about his world.
I wonder, does Ian Esselmont help out much with his stories? He's only written two books in the series so far, which I haven't read. Anyone have an opinion?