On the structure of the category O for W-algebras

W-algebra (of finite type) W is a certain associative algebra associated with a semisimple Lie algebra, say g, and its nilpotent element, say e. The goal of this paper is to study the category O for W introduced by Brundan, Goodwin and Kleshchev. We establish an equivalence of this category with certain category of g-modules. In the case when e is of principal Levi type (this is always so when g is of type A) the category of g-modules in interest is the category of generalized Whittaker modules introduced McDowel and studied by Milicic-Soergel and Backelin.