I'm not sure about the opening sequence which teases big trouble for Annie 10 months in the future, but the acutal storyline that picks up the morning after the Third Season finale is pretty strong as Annie heads to Colombia to investigate the information Henry Wilcox gave her about Arthur secretly funneling money to terrorist sources through a man known as the Puma.
I love the fact that Auggie follows her down and tries to help, but they get on the radar of the local CIA section chief and Auggie gets shot their off-book mission goes straight to hell. The episode also ends with a shocker involving Arthur resigning from the CIA and the mystery surrounding his own off-book missions seems to be only beginning.
"Vamos" is a strong first episode with a season long arc that looks like it might hit quite close to home for both Annie and Auggie (whose knowledge of Arthur's work in Colombia might bring him down as well).
You can find my full recap and review (with pics and video) at RazorFine