This weeks parasha (Yisro) starts with the posuk stating that:
When Yisro, the priest of Midyan, Moshe’s father in law, heard of all that G-d had done for Moshe, and for Yisrael his people, and that the L-rd had brought Yisra᾽el out of Mizrayim;
In sefer אבי בעזרי written by Rabbi Eliezer ben Yitzchak Chaim Lau, the question is asked why this parasha starts off with the story of Yisro. Why not begin with describing the purification process of B'nei Yisrael, in order that they are able to receive G-ds Torah, which is the central subject of this weeks parashah.
Rabbi Lau explains (my own understanding of this piece) that the lesson G-d wants us to learn from this pesukim is that Yisro, a kohen from Midian, who was a worshipper of foreign gods, accepted G-ds sovereignty and accepted that G-d is the true One. Rabbi Lau seems to cite Rashi (v. 5) who explains that Yisro had everything he wanted, but nevertheless, he left his place, and went into the desert, to search for G-d. This ended up with the Torah teaching us that Yisro accepted G-d as the True One G-d (see posuk 11).
Rabbi Lau goes further to explain that it was a form of "dedication of the soul" that made Yisro accept G-d's soverignty and made Yisro wanted to draw closer to G-d.
So, can one say that the reason the Torah saw need to start off with this "story" is to give mankind the message that if you feel attracted to G-dliness and you are really wanting to connect to G-d that is possible, despite what you've did in the past? Despite of "being the kohen of the Midianites", you are able to return to G-d.