Fridge Brilliance: You'll probably scratch your head in bewilderment the first time you try to jump over a column of fire and get scorched to high hell. However, Alice was in a house fire and got burned badly. She'd know how Convection Schmonvection works and Wonderland reflects that.
You might wonder why the Hatter is so mad as to force a tea party when his realm is falling to pieces around him. Then you might rememeber Jabberwock's accusations against Alice in the first game, and it makes more sense.
Then there's the fact that the game dodges giving you a proper boss fight until the end. When you realize the game's arc words, "What have you done?" and the answer nothing at all against the man that raped your sister, killed your family and pimps your bedmates, it begins to make sense. Alice finally gets a boss fight against the Dollmaker around the same time she actually physically stands up to and defeats its counterpart (Bumby). While all of the first game and most of the second take place in her mind as she battles demons of her own devising, this represents the first time we see Alice's determination and confidence from Wonderland bleed over into London. And bleed over it does, into Londonland. It's actually a fairly optimistic ending.
It may take a moment to realise, but the children in Dr Bumby's Home For Wayward Children seem to be wearing bibs or aprons in the first London scene. Then you learn what they are. And then you never look at the level the same way. It's so obvious, in hindsight.
And while they might seem to be identification plaques, pay attention. There are several with the same number. Even close together, like they wanted you to notice.
In a similar vein, you know those plaques that people hang on their walls? The typical message is "Home Sweet Home". There are two at Houndsditch, but one says "Home Safe Home" (which may be true, if only relative to the outside world), and, more disturbingly given what we learn, "EARN YOUR KEEP". Brrr.
It may take a playthrough or two, but sharp-eyed players may notice that landscapes in the Victorian "real world" seem to inspire the landscapes of Wonderland, some subtley, others blatantly: the horizon of smog-belching factory chimneys (as seen from the top of Nurse Witless' house) inspires the Mad Hatter's Domain; the ice-cold warehouse inspires Tundraful; the docks are a pretty obvious influence on the Deluded Depths, with the Mangled Mermaid's prostitutes becoming the dancers at the Carpenter's Theatre; Radcliffe's oriental themed house is downright blatant in shaping the Mysterious East; the police station almost automatically gives way to the dungeons of the Red Queen's palace. Of course, the last few levels surprise the player by reversing the whole equation; after being transformed into a doll in the Dollmaker's lair, Alice awakens to find herself right outside Dr Bumby's house, which inspired the Dollhouse. But, an interesting thing to notice is that Vale of Tears has no real equivalent in the real world; it's part of the original Wonderland, mostly uncorrupted by the Ruin and Dr Bumby's brainwashing, at least until it becomes the Vale of Doom... and fittingly, when Alice finally destroys the Dollmaker and kills Bumby, the landscape of the Vale of Tears dominates the merged Wonderland and London.
Fridge Horror: In the final chapter, it's increasingly difficult to tell just how much of it is happening in reality and how much is just in Alice's head, right up to the end where Alice seems to transform into her Wonderland self, pushes Bumby in front of a train, and steps out of the railway station to find London merged with a happier, cheerier Wonderland. For all we know, the entire final act may just be a fantasy, as Alice has finally lost all grip on reality, unable to ever leave Wonderland..
In the earlier parts of the game Alice demonstrates a noted apathy towards the suffering of others in Wonderland, making her a bit of a jerkass hero. Much as she blocked out the suffering of her sister and did nothing to stop the suffering of the brainwashed children around her. As with all of Wonderland, her attitudes have a definite Reality Subtext.
"Lost? Shrink to reveal hidden paths". Shrink. As in, therapy. Get it now?
Notice how every time Alice goes down a slide, things seem to take a turn for the worst? Insanity is a Slippery Slope, as they say.