The theme song does sound like the theme from Metalocalypse, now that I think about it. The Mr. Pickles theme is done by Mark Rivers, who also did the theme for Mr. Show which starred Bob Odenkirk and David Cross.
I thought the dad's dream fell a little flat, but the other stuff in this week's episode (particularly Mr. Pickles ripping out the guy's leg bone and burying it) was hilarious.