The intriguing enigmas of The Third Day started building before the series even had a trailer. What would a collaboration between Sky and the immersive theatre company Punchdrunk look like? Is it an experiment? A laugh? The story, also, was shrouded in mystery – revealing only the bare basics of the plot.

As with anything ambitiously unfamiliar, you can't help feeling sceptical. How are they going to pull this off? What are they going to pull off? But The Third Day thrives on these innate peculiarities, calling you to enter its elusive world.

Not since the days of Lost has a series sparked so much of this critic’s curiosity. And like Lost, The Third Day also has a strange island with strange inhabitants and strange goings-on. But writer Dennis Kelly (Utopia) makes the experience more insular, more subjective to Sam (Jude Law), a business owner who’s recently been robbed.

Jude Law stars as Sam, a traumatised man who becomes engrossed by a mysterious island. Photo: Sky

The first episode begins with an intense argument over the phone, on an empty country road. The camera is fiercely in Sam's face: in focus, out of focus. He decides to take a breath in a forest, where – under shocking circumstances – he meets teenage girl Epona (Jessie Ross, High Life), resident of the nearby Osea island. To help her, he drives her back home. In the vein of any horror movie, you know this is a bad idea.

To reach the island, Sam has to drive on a winding road… but only when the tide’s out, as it’s covered by water the rest of the time. Once the water retreats, the safe(ish) passage appears like the entrance to a disturbing fairytale.

Some serious Wicker Man vibes peek out of long black sheds and between tree branches. There are the classic costumes, weird statues, and a festival wrapped in Druidic tradition. The residents live as a sharp community, like any extremely local British village with a historic creepiness to it. Sam takes Epona to a couple of pub-owners: Mr Martin, a smiley Paddy Considine, and Mrs Martin, a stern Emily Watson.

Some local disputes. Photo: Sky

Much of what’s unnerving about the first episode stems from the incomprehensible. Clearly, there are some local disputes on the island, which Mr Martin tries to hush – maintaining the picturesque image of a loving community to Sam. There’s a scary xenophobia under the surface, hinted at by certain veiled speeches by Mr and Mrs Martin: planting dangerous seeds in Sam’s head.

However, his head already suffers from visions and nightmares, and frightening images in his waking life. Dissected animals and obscure children cloud his mind. Director Marc Munden (National Treasure, Utopia) secures you in these moments, removing you from any possible distractions (NB: please, please don’t look at your phone while watching this).

A lot of the visuals swim in a delirious haze, but it’s the sound that really sucks you in. It ranges from immersive, ambient flits of nature to the unnerving chimes and bells of Cristobal Tapia de Veer's background score.

So many questions arise throughout the episode, creating the discomfort of the unknown. It’s likely that the first episode is only a glimpse of the terror to come. And, given the remaining ambiguity, there’s no way to prepare for what The Third Day has in store.

The Third Day airs on Tuesday 15 September at 9pm on Sky Atlantic