The plot makes no sense whatsoever. You can try and understand it but I guarantee you won't understand a whole lot even after your first play though. That being said, the game is batshit insane (in a good way) and manages to have one of the most fascinating sexualized characters in a long time. [http://www.escapistmagazine.com/articles/view/columns/on-the-ball/7053-On-The-Ball-Pimping-Bayonetta] The nonsense could even be a complement to the final game. Bayonetta is, without a doubt, the game the developers wanted to make. They made no compromises and the final product has an overwhelming sense of creativity. Anyone who thinks that the Japanese are losing that key trait needs to go play Bayonetta.
You are seriously missing out if you don't play this game due to the copious use of cheesecake, because its manages to have some genuinely funny moments and its an absolute blast to play.
I wasn't sure you guys had it in you to do this Graham & Paul, but damn it all, ya pulled it off. You done me proud. [http://www.escapistmagazine.com/forums/read/6.169432-On-The-Ball-Pimping-Bayonetta?page=2]
One more thing, I'll try and explain some of it, though I'll probably crash and burn:
Bayonetta was dressed as a nun to lure the angels out to collect "Eggman" and bring him to heaven. Don't ask who Eggman is, he has no real importance to the main plot. She travels into Purgatorio, which is where most of the game takes place. That is why Enzo disappears, he remains in the human world. Once the angels take the bait, Bayonetta beats the living snot out of them, for pretty much one reason-she likes her job of tucking them in(so to speak).
Rodin shows up to provide Bayonetta with guns which happens after the video ends, but the cutscene continues. Rodin is a demon blacksmith who provides Bayonetta with weapons throughout the game and follows the typical hard-ass character traits. After the cutscene ends, the game initiates the tutorial and the first real level begins.