To Forget involves the reluctance to let go of a lover. The speaker is stubborn and tormented by the past. Obviously, the past can't be all someone knows but the speaker is obsessed with retelling it. The song focuses on how not moving on illustrates weakness because clinging to the past will set you back from new opportunities and fresh insights. That being said, the speaker chooses to indulge in heartbreak.
First Time is about the pleasure of pretending to be strangers with a lover you've known for a long time.
It's playful in that the speaker is suggesting the other "be them-self" and "not hide anything" because it can be fun to hold back, tease, and pretend your lover's a stranger like the "first time" you experienced them. The speaker plays this game also, and slyly admits "I can say I Iove you sometimes," which implies this games goes both ways.
Close is about relaxing and floating on the ocean and embracing a memory of love. By "loving with the blood that sings" we are choosing to focus on love that doesn't impede our ability to move forward. Blood, in this sense, is a symbol of importance and ignoring the selfish ties that relationships often entail. Yet, this task is difficult because we have desire and enjoy indulging in immediate pleasures. The premise to this song is we sometimes come "close" reconciling these two issues.
Let Me Know is about Schizophrenia. After witnessing a presentation about the mental illness, it was clear how difficult it must be to deal with it. "Let me dance and fall for you" suggests the peril and inevitability of the illness. In other words, the voices seem impossible to ignore.