Leo and Teresa (Adam Levine and Jenna Dewan) are the newlyweds, who are on a "haunted honeymoon" trip, because Teresa is apparently a horror freak. Their story happens in our time, while the rest of the show looks back to the year of 1964. So they get to the abandoned asylum to explore and have sex. Long strory short, Leo puts his hand with a phone to the food hatch in the locked door to see if anything is there. Oh, there is something there, alright. It grabs his hand and rips it off (haha! the best moment, he deserved it).
Sister Jude (Jessica Lange, last season played the role of Constance Langdon), the person running the Briarcliff. She says that mental illness is a fashionable explanation for the sin and thus she sees her mission in making inmates of the asylum repent. And oh my, she's got great arsenal for that.
"Jude" in fact is a masculine name, it's a form of famous biblical name Judas/Judah. Just saying.
Sister Mary Eunice (Lily Rabe, last season appeared as Nora Montgomery), Sister Jude's minion. It is said that other people think she's stupid, but in fact she doesn't seem that at all. Behind Sister Jude's back she's running errands for Dr. Arden, so no matter who wins the battle over the asylum, she stays (or maybe there's some other motive).
"Eunice" means "good/noble victory".
Kit himself believes he and his wife were abducted by aliens and were performed tests on, police sends him to the Briarcliff to check if he is fit for the trial.
The name "Kit" means "bearer of the Christ"
Grace (Lizzie Brocheré), a patient who helps Kit by sharing her knowledge about the rules of the Briarcliff. She allegedly chopped up her entire family, which she claims isn't true (I think it is). She also suggests that being in Briarcliff alive is better than ending up electrocuted.
Shelley (Chloë Sevigny), a nymphomaniac (or "the victim of her own lust", as Sister Jude puts it). Nothing much happened to this character yet.
One of the meanings of her name is "a sheep", and the character is shaved like one in the first episode.