The irony of this being thought of as an inherently Anime things is I feel Anime first episodes generally have a better track record then American TV, even though all those hour long dramas I've watched had twice the runtime to work with.
Now for both Anime and American TV there are lots of older cases where because of how I got into them the first episode was not my actual first impression of the show. Buffy and Angel are the big western example though I can also add One Tree Hill, but for Anime this was even more common applying to Sailor Moon, Pokemon, (ya know I still haven't properly seen the first episode of DBZ), Noir, Madlax, Wedding Peach, Code Geass, Gundam 00 and even as recently as Attack On Titan.
Witch Hunter Robin might actually be the first TV Anime where I actually watched the first episode first because I just bought the complete box set on a whim. Maybe that's why it plays such a unique hard to define role in my Anime Nostalgia.
Since I started becoming more of a full time Anime viewer in 2014 I've generally avoided letting this happen, I literally won't let myself watch a random Toonami episode, which is perhaps unfairly limiting. So by now the majority of my MAL are shows where the first episode was indeed my first impression. And as you can see skimming my dropped list I don't always follow the 3 episode rule, but I'm a rule breaker by nature.
When The Vampire Diaries started was before that. That show I did watch as it aired from the start until the middle of season 5 because I was in my Vampire phase then. And I wasn't the only early fan of the show telling people that the Pilot wasn't a great first impression and you really need to give it a few to really get a proper sense of if you'd be into it or not.
The Passion of The Nerd in his video on Buffy's Pilot attempts to argue it's better then the pilots of a lot of other TV shows, with the examples listed/shown all being American. That segment of the video amused me, because as much of a Buffy fanboy as I was, comparing Welcome to The Hellmouth to most Anime Pilots absolutely makes Buffy come up short.
Now it might sound like this is an argument of someone agaisnt the 3 Episode Rule. But you see Anime is of inherently such high quality to me that their Pilots can be better then other Pilots but still below the average quality of the shows they're piloting. What I've done here is point out that pilots having issues is a universal thing, and Anime given the chaotic way it's often produced is not gonna be immune to that. And I'm someone who's notoriously easy to please anyway.
The reason why with Anime it's often 3 episodes specifically is because back in the 90s the Home Video releases were usually of three episode sets, and the Anime industry typically made more of it's money back on the home releases then when the show actually aired. So the shows were written with the assumption many will watch all of the first 3 together regardless, and to in general work in three episode chunks well beyond how it starts.
My first viewing of the opening episodes of Pokémon was via watching that three episode VHS tape. And those episodes do feel like a three act story in how they set up the show's premise and world, followed by episode 4 being almost the first filler episode. Suede has pretty positive reviews of both the 1st and 3rd episodes but was more critical of the second, I think the second was phenomenal, but I'm more into unconventional story structuring in general.
For Sailor Moon however the west didn't get the same experience Japan did since it's second episode was also the first one skipped by DiC. When you watch it's original opening trio it has a similar vibe with episode two introducing a few things the Manga did in the first chapter and then episode 3 introducing the Lunar Pen.
And even though those technical reasons for this structuring of how to start a show don't apply anymore, the people making Anime often default to that out of habit. Code Geass came out firmly in the DVD era but it's first 3 episodes are very much the same effect.
SFDebris's reviews of Madoka Magica observed how it's structured as 4 sets of 3 episodes. Madoka however may ironically have been the end of this being a consistent pattern in how Anime is made. Since after Madoka a lot of shows have made a deliberate effort to wait more then three episodes before taking their Mami's head off.
However some shows still follow that pattern to this day. Citrus had basically the exact same 4 sets of 3 episodes structure going for it. And it early on had to condense two chapters of Manga into one for the second episode to make that work.
A lot of people dismissing the three episode rule like Digibro's three part video series on the issue or Zeria in a recent twitter threat, I don't think can actually honestly remember what their actual first impression of the first episode was. They are always looking at episode one in the context of what the show became. I say this as someone who when it comes to what I currently consider my favorite Western TV show, Pretty Little Liars, absolutely don't trust my current memories of how I feel about it's pilot, that show made every detail of that pilot iconic to long time fans in how it constantly referenced back to it.
If there is literally nothing about the first episode you liked then sticking for two more probably won't be worth it. But if you see potential then give the show more of a chance.
Update April 2021: This new Pause and Select Video helps further explain the reasons for the 3 Episode rule.
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