The "talented but frightening" Alice Cooper sets an eerie mood for the show from the moment he tells Scooter that the monsters in his dressing room aren't The Muppet Show's; they're his. Even the floating blue mass that comes out of Gonzo's horn in the opening has an otherworldly feel to it.
Alice later reveals himself to be an agent of the Devil's, offering the Muppets "fabulous riches and worldwide fame" in a Faustian exchange for their souls. Kermit shudders at the idea, Miss Piggy gives it a test run but ultimately decides it's not worth the sacrifice (or the makeover), and Gonzo spends much of the episode looking for a pen to sign the contract. He becomes so desperate that he, in quick succession, offers to trade the Vile Bunch Drummer a chicken, all of his chickens, and finally his soul for a pen before realizing that he has "other plans for that."