Penny dreadful is always "entertaining." The end of 2nd season was a bit indulgent and finished off the story where you could just leave it there. But Kudos to the writers, the 3rd season suddenly throws you into many story lines each so rich and exciting, and then lets them collide beautifully. Each sub-story is innovative and the elaborations on characters' paths only add up to the grand plot at work.
This very episode is especially captivating. It starts slowly and builds up to perplexing developments; The mental representations, well versed with psychology, segue into believable supernatural situations without a blink. By every standard, it is quite a course in production and acting. And sure as heck fun to watch. Just bring your wits.