I respect the show for its eccentricities, its cast, and its willingness to take some ideas that were born in the Coen brothers' film and run with them.
I think however that the flying saucer, like the fish and the hotel bloodbath from the first season, represent fundamental misunderstandings of what the Coen brothers were trying to say.
There aren't supernatural forces at work that suspend the laws of nature. It's the nature of man to suspend his own sense of right and wrong, and from that hole crawls a series of unlikely scenarios.
The 1996 film looked at life in a small town and asked what would happen if a mild-mannered man surrounded by sickly sweet people were pushed to his breaking point. Jerry Lundegaard is a protagonist who breathes deceit and had every opportunity to fess up, but never did. He only made it worse. He meets Marge Gunderson and despite her best efforts to wring the truth out of him, he sticks to his guns, to the detriment of everyone around him.
They revisited this idea with the first season of Fargo. One man is faced with a choice and has a literal angel and devil trying to get him to do the right thing in the end. So there is once again this story of a small town, seemingly nice people, and a choice that most of us would not make.
Season 2 starts out with a similar setup with the Blomquists. Peggy makes a mistake and instead of coming clean (which would have earned her no prison time given who she hit), she chooses to cover it up and makes her husband complicit. Then there's this whole separate mob storyline that makes everything so much more complicated than it had to be. There are some great characters, though. I especially liked Dodd and Mike Milligan. Terrific casting.
What they missed between these two seasons was that there was a dark truth underneath Jerry Lundegaard's dilemma. The reason why this movie is labeled a dark comedy is not because of any murder that occurs in the film. Rather, it shows how unforgiving the world can be to genuinely good people. All of the Coen brothers films touch on this to varying degrees, actually.
It would have made more sense for Peggy's decisions to get her decent husband killed, but they opted instead for the death-an-episode bloodbath between the Gerhardts and Kansas city.
More importantly though, the core events of this season were hinged not on a choice reflecting human nature, but on a fucking UFO. Even Oh Brother Where Art Thou is more realistic than this show.