Though I at some points believed the last season to be lacking, Season 3's finale and Season 4's premiere together create one of the most exciting episodes of Criminal Minds to date.
The episode, Mayhem, saw a wonderful analysis of Derek Morgan's character. The way in which his heroism was ultimiately revealed to be a lack of faith in his team-members really struck at the heart of his character. It may be, that later episodes in the season will deal with this lack of trust and obstinant self-reliance (assuming of course that because Hotch failed to give his recommendation Morgan will stay with the team because of how important Hotch's opinion is to him). There was also plenty of scope for Morgan-Garcia shippers (though I am not one myself) to speculate as to whether the nature of their relationship will change, given his final words to her subsequent to the ambulance explosion.
There writers also played up the tension between Cooper and Prentiss in the final scenes. Personally, I thought that the tension between them had been resolved in the previous episode but it was still included. However, since Prentiss will be returning to DC and Coopers in NYC I doubt this will become a story-line and was more a passing diversion.
The one criticism I might pose with the episode is that a lot of time was spent debating how little the terrorists had done before the plot rapidly moved forward to the point where they realise the profile is wrong and a single hospital is the target with very little explanation as to what the terrorists hoped to achieve other than that they were trying to assasinate a person of importance who was in the hospital. Having just typed that all out, it may seem as though the motive etc was very clear but whilst watching the episode I felt differently (if that makes any sense).
All in all though, I felt that this episode absolutely delivered the promise given by the Season 3 finale and I look forward to seeing what the rest of the season has in store.