In the later, more megalomaniacal, phase of his career, Robert Heinlein championed the concept of the World as Myth. He held that the act of creating fictional worlds is so powerful that all of those worlds including, of course, his own, actually exist as parallel universes to our own. It allowed the characters of his last novels to spend time in Baum's Oz, Burrough's Barsoom, and, most notably for our purposes, Carroll's Wonderland. While it may have been the final hubristic spasm of a Grand Master, it is a concept that proves useful to the writers of “Once Upon A Time” in “Hat Trick”.
All of the characters grapple with fantasy versus reality in this large, though very welcome, return for "Mad Men". What they think they're getting in their lives clashes with the reality that comes afterward. There's a certain expectation that is demanded from everyone and they are continuing to struggle to meet those demands. It is the middle of the 1960's decade, a time of great social upheval and change, and it's finally coming for the occupants of Madison Avenue. What is really great about this show, something that I would never expect from a drama about advertising executives, is that this episode doesn't just establish the status quo like many season premieres do, but the story moves forward.