Alice the Madness Returns is a more a psychological thriller than a traditional game or even the traditional story. Instead of a girls magical adventure is a woman's journey to overcome her mental illness and discover who killed her family through five chapters which I believe based on the five stages of grief.
Usually I write my recommendations at the end for who will should play this but if you are a person struggling with depression I would advise caution before playing this game or if you are person easily disturbed because this may be the most disturbing game I've ever played. However if you are a person with a troubled past this might actually help you make sense of things, it had the latter effect on me but I'm not you. Personally I found playing a game about grief and accepting that everything isn't what it could be and some things are downright awful helped me but I'm someone who has already dealt with the grieving process, and I'm concerned it could hurt those who aren't at the acceptance stage of the process.
Denial, Anger, Depression, Bargaining, Acceptance. Being of a somewhat warped mind its no surprise that Alice must go through the steps somewhat out of order.
In Chapter I we see Depression.
http://alice.wikia.com/wiki/File:Vale_of_Tears_concept_art.png
Here were explore Alice's most immediate thoughts, the death of her family.
In the Second Chapter we see the deluded depths where Carpenter and the Walrus try to Bargain with The Infernal Train by sacrificing her memories.
In the Third Chapter The Mysterious East we see denial where her mind goes to a place far away from London where she can escape reality.
In the Fourth and I think the Most important we see Anger. This is where she meets the Queen of Hearts. The heart has many meaning, it means love, but it also means vitality, survival, primal emotions such as rage which is the primary emotion displayed by the ruler the Queen of Hearts who Alice must reconcile with in order to defeat her madness, and the most natural survival instinct aside from fear is hate. Its no wonder that here she finds her answers.
In Chapter Five we have acceptance of a truth she always knows. How her family died and who is responsible. We see her revisit her past the imagery is very symbolic, brightly painted houses at first followed by a dungeon underworld showing that childhood often is not what we wished it was.
The Sixth Chapter is the confrontation with a murderer not a journey in her mind.
I couldn't help but wonder what sort of person would write a story like this so I googled the creators name "America Mcgee" and found this on Wikipedia:
"Being the only child, McGee had a number of stepfathers when growing up until his mother finally settled on a transgender woman. One day when American was sixteen, he came home from school only to find the house empty and abandoned. The only things left were his bed, his books, his clothes and his Commodore 64 computer. His mother had sold the house to pay for two plane tickets and the fee for her girlfriend's sex change operation. American was on his own. He packed up his computer, dropped out of high school and took a variety of odd jobs, finally settling on a Volkswagen repair shop.["
https://en.wikipedia.org/wiki/American_McGee
This should explain why he seems to have an almost pathological contempt for authority, family and particularly father figures. Although the man who killed Alice's parents isn't blood related he is certainly presented as a father figure. I had a feeling that he did not have an ideal childhood the moment I played the last level where brightly painted houses only conceal a dungeon. The metaphor was not lost on me. The analogy is simply childhood is a time of false innocence and false safety and the glorification of childhood is largely a lie constructed by adults. This is essentially what the message of the game is.