An interesting tidbit about Alice: Madness Returns is levels do not begin in Wonderland. You start off in London and control Alice as a regular girl. Stages, or "realms" as Spicy Horse call them, morph into Wonderland as you explore them. Look carefully and you can still see elements of London within the madness, so to speak.
The reason for the transition is Alice sinks into fantasy when she can’t deal with the real world. In London, Alice has no special powers, but in Wonderland she becomes a superhero of sorts. This is Alice’s way of facing her demons and eventually discovering the reason behind her family’s death.
Another tidbit – Alice begins the game totally unarmed. She has to find the Vorpal Blade in the first level.
For more on Alice: Madness Returns check out our hands-on impressions.