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I answered my own question partway through writing it with a visit to http://iqdb.com. Rather than delete the question, I made it a shill for iqdb (brought to my attention by Logan M. in this question's answer.) iqdb led me to this page that lists all the series and characters in this picture. The far left pair is Lelouch and Nunnally Lamperouge from Code ...

The place that Himari goes to (with her two brothers) is called the Crystal World. It's a fantasy world that they get transported to by the Princess of Crystal, the entity that possesses Himari through the hat. Not sure if it can be considered a hallucination (if it is, it's definitely shared between its occupants), but it's probably not in the physical ...

I haven't seen it myself, but apples can often symbolize sexuality, temptation ("forbidden fruit") , fertility ("bearing fruit" as in your screenshot). Connections can also be made to the stories of Adam & Eve and Sleeping Beauty. The circular shape of an apple can also be a depiction of loops, or eternity - which is what it appears to be in ...

I'd say the cat-looking things in front are a type of nesting doll (matryoshka doll). Specifically this: From http://bobobabushka.wordpress.com/2010/12/31/lucky-new-year/ The Penguins themselves might be a generic penguin plush toy. Remember that people keep all sorts of things in their bedrooms, and wouldn't display anything they didn't find visually ...

I've managed to track the song down - it's track 6 on the 1st OST disc, called "sekushii ga kita!" (roughly "Sexy Has Come!", or "Here's sexy!"). As far as I can tell, it is only attributed to Yukari Hashimoto, the composer for the series soundtrack, and as such it doesn't seem to be a cover or direct reference like many of the insert songs in the show. I ...

I finally managed to dig up the track that I wanted after I listened to a number of Penguindrum-related uploads on SoundCloud; it was listed as "Karei. Sora No Ana Bunshitsu". From some more searching, it appears that this can be found on the bonus CD of vol. 3 of the Blu-Ray. This all indicates that this was probably an original composition. I'm ...

Those cat-like dolls kinda looks like Kapibarasan. A doll popular in Japan. I have one as well and the salesclerk told me they were Suguha's dolls.