When I first played BG II a lot of the thematic story development went right over my head. The hints were indeed all there in the opening dungeon, but I was much more busy figuring out how to use my spells, scout areas ahead, and avoid goblin arrows. Only later did I piece it all together, and went "oh, now I get it ..." That is indeed how you use foreshadowing. Wonderful!
One theme that I did catch onto quickly, however, was the Tale of the Fateful Coin. Forgive me if I re-post some of this: It starts with Firebeard's book in Beregost, it underlies all the dream sequences in BG I, and it goes right up to the ending in Throne of Bhaal. That theme tied BG I & II together because it directly concerned the player character. I liked that quite a bit, and I hope I see something like it in BG III.