I suppose it's really just the power of suggestion from the knowledge that Mad Men creator Matthew Weiner joined The Sopranos started in Season 5, but this episode felt very Mad Men in tone. The big black bear, a lumbering avatar of Tony for both him and Carmella to some degree or another, is the kind of absurd, dark comedy that the 60s-set drama would use in spades.
There was a similar balance of humor and severity in the storyline between Paulie and Chris. There's something perfect in their dynamic, where they can believably slip between good-natured laughter, well-felt affection, and barely kept from boiling over anger and resentment, sometimes in the same scene. And there's something very blackly comic about their killing an innocent man, and having it be the thing that brings them back together. By this point in its run, The Sopranos understands its characters, and how they disregard almost anyone who isn't in their little circle. Only shows in this weight class can take a sequence like this and make it funny in and absurd, existential sort of way, and also make it a meaningful commentary on the characters and the worldview they represent.
The same goes for Tony's absurd attempts to woo Dr. Melfi and her restrained attraction toward him. This is worth more in depth analysis, but it was some of the best work on the show from Lorraine Bracco this side of "Employee of the Month" and James Gandolfini was great as always going between Tony's best attempt to be charming to a woman who rejects his advances, presenting himself as cosmopolitan or caring or sincere, and then turning on a dime and becoming the vulgar, resentful man the audience has come to know over the last four seasons. "The Two Tonys" indeed.
It's nice, by the same token, to say hi to the rest of The Sopranos's world. Trouble is clearly a-brewing with the right of succession in New York. Steve Buscemi (!) is coming to town. AJ is testing the boundaries of his parents' discipline with them separated. And Janice and Bobby got married. (!?) All-in-all a great start to what will hopefully be a great season.