What happens when the original time-line changes? One change can have a huge impact on the rest of the universe and that's what the first episode of 'What If' showed.
As Steve Roger's walked towards his destiny of becoming Captain America a Nazi attacked and shot him multiple times, and blew up half the room before being shot himself. Now the allies are in a pickle, they had one shot at this super soldier craziness and Peggy Carter just so happened to be there and ready to grab destiny by the throat and chuck it to the moon.
It plays out almost the same as Captain America, but with huge changes. Some include Bucky Barnes not falling to his death/capture to become Winter Soldier. That's a big change that has huge implications to the future of what could of been.
Another big difference, Tony Starks father created the first Iron Man suit for Steve Roger's, which means Tony Stark most likely never becomes Iron Man.
Add that to the death of Red Skull who tried to unleash a beast from the Tesseract only to be murdered by the damn beast.
The ending is much like Roger's sacrifice except Instead of Steve dying in the ice, Carter uses her strength to pushing the beast back into the portal that was created to save the world only to come out the other side almost 70 years in the future In a room where Nick Fury and Hawkeye awaited her.
It was definitely fun and interesting to see how things would play out and I'm looking forward to the next episode of whatever character they throw at us.