Part 1: assbutts
Dual commentary is available in the downloaded video.
Part 1: assbutts (download source)
Less talking: Blip(Polsy) | Youtube(Polsy)
More talking: Blip(Polsy) | Youtube(Polsy)
Director commentary: Parts 1 and 2 | Part 3 | Part 4
Taken from the Bayonetta Collector's Edition Guide
Bayonetta
A mysterious witch of the Umbran sect, trained in their ways of combat and the dark arts, she sold her soul to a butterfly-like demon known only as Madama Butterfly. The pact sealed her fate and aligned her with the dark side forever. She bears the mark of her master in the form of butterfly wings that appear in her shadow or when she jumps.
The pact granted her great powers, but came with a great toll; she must now kill Angels as a daily offering to her new master. Failing to do so breaks her pact and will send her straight to hell. Awakening in the modern world after a 500 year slumber, she is not one to sit on her laurels and immediately begins her search. Wielding titanic magical powers, she rages war against the Angels of heaven in order to keep herself alive long enough to find the key to her missing past.
Armed with Scarborough Fair, an enchanted set of handguns equipped to both hands and feet, she practices the "bullet arts", a combination of gunfire and melee attacks. With the aid of her consorts Rodin, a master weapon smith, and Enzo, and underground informant, Bayonetta trudges on through battle after battle. Nothing will deter her as she searches for the keys that will unlock the buried memories of her forgotten past.
Enzo
Enzo is an odd and talkative man with his finger on the pulse of the underground. Styling himself in the manner of the Italian Mafia, he loves the finer things in life. For Enzo, everything has a price tag attached to it, even the information he supplies to Bayonetta and Rodin. Yet, oddly enough, he is more than a simple money monger looking out for his own good. As a loving husband and devoted father, he also has a family that he dearly loves and seeks to provide for.
Rodin
Once a fearsome and highly ranked Angel, Rodin was outcast during the great angelic war centuries ago. Now that he has fallen, he has nothing but contempt for his once angelic comrades. As a master weapons smith, he holds the power to craft the most sinister and powerful weapons the world has ever known. While he has no desire to directly aid Bayonetta in her quest, he has no qualms what-so-ever in arming her to the teeth with his special creations.
Transcribed from in-game text
Affinity
Servants of heaven that populate the lowest of the angelic hierarchy, a Third Sphere rung known simply as Angels. Humans with deep faith often feel these angels closest to their hearts. Descending from the heavens upon their pure white wings, it is believed that the glimmering halo atop an Affinity's head lights the path for those who have lost their way.
The religious articles they equip are all tools used to further their conviction to protect the righteous and can become powerful weapons used to strike down those with sullied hearts.