The four main characters, Ned, Badder, Bert, and Henry, are all played by the same actor. As well as a minor character named Cletus.
The pilot (which was made months before the rest of the series) was very different is style, and setup. In it, there was no "Show within a show" aspect, and was set up more like a traditional talk show, with sketches accompanying it. The names of the characters and Henry weren't in it either. All that stuff was introduced in the second episode. The set was changed as well, with the pilot being filmed all in one room. The rest of the series had a much more diverse set.