In Season 1's "The Room," Nate discovers that his father made strange deals with a few clients who couldn't pay in full for their loved ones' funeral at the time. One of these arrangements was an empty room in an Indian restaurant — the owner gave it to him as a settlement for the service. Nate stays there for a while — and later even shows it to his girlfriend, Brenda (Rachel Griffiths), and his brother, David.
At first, it drives him crazy that he doesn't know what his dad did in this spot. He imagines all sorts of scenarios: like he smoked and drank there in solitude. Or that he brought women here, had big parties, or shot people from the window with a sniper. Essentially, what makes him upset about this discovery is that his father had another life totally unbeknownst to him. He thinks of this place as an escape Nathaniel needed to get away from his family.
Yet, at the end of the episode, Nate finds a photo album full of memories of when they were kids — smiling, laughing, posing as one happy bunch. It's such an emotional moment — knowing that his dad had a separate life outside of his family, yet never stopped loving and thinking about them. This revelation eases Nate's mind and eventually gives him solace.