Miyuki-chan in Wonderland is a very... "strange" anime, based on the manga by CLAMP, the same group of women who produces such popular titles as X (or X/1999 in the US), Magic Knight Rayearth, CLAMP Campus Detectives, Card Captor Sakura, and many others. The manga has 7 "episodes," Miyuki-chan in the Wonder Land, Miyuki-chan in Mirror Land, Miyuki-chan in TV Land, Miyuki-chan in Part-Time Job Land, Miyuki-chan in Mahjong Land, Miyuki-chan in Game Land, and Miyuki-chan in X Land, which were first published in Newtype magazine (one of the premiere anime magazines in Japan) as their featured monthly manga. The anime contains the first two: Miyuki-chan in the Wonder Land and Miyuki-chan in Mirror Land (or Through the Looking Glass in the US release).
So basically, Miyuki-chan is a pretty ordinary high school girl who is either extremely repressed and has strange fantasies, or has the universe out playing strange tricks on her, or perhaps a combination of both. For whatever reason, she finds herself in one bizarre situation after another; sometimes being sucked into strange universes and sometimes having the strange universes popping into her world. In Miyuki-chan in Wonder Land and Miyuki-chan in Mirror Land, Miyuki is going about her usually daily business, when she gets sucked into worlds with bizarre geography, strange physics, and odd characters, who are all female by the way. But despite being tossed from one unusual situation to another, have no fear: Miyuki-chan is basically safe and manages to escape or defeat her would-be malefactors whenever things get too hot.
The other episodes are also quite entertaining. I'll try to briefly summarize them. In Miyuki-chan in TV Land, she's watching TV when these legs come out from the screen and pull her into the TV show, where a variety of naughty people befall her until she manages to escape. In Miyuki-chan in Part-Time Job Land, she hurries to her after-school job as a waitress, but when she arrives, she finds a huge battle ring in the center of the room where she and waitresses from competing restaurants must battle it out. Strangeness comes to Miyuki-chan in Miyuki-chan in Mahjong Land, when a nurse, a stewardess, and another high school girl rise out of a book and decide to involve her in a game of mahjong for their clothes. It's a close battle, leaving Miyuki and the highschooler facing off. The highschooler has an awesome hand and is unleashing her power, but Miyuki's hand is better and she strikes back with fury, sending all the other girls back whence they came. In Miyuki-chan in Game Land, she's just lost an RPG video game and is at the continue screen, which says "Do you want to become the hero? YES/NO." After thinking it over, she chooses yes and gets sucked into the game. She joins the adventurer party in the game, and all proceeds in typical Miyuki fashion until they reach the end, where the main boss is... herself! As the rest of her party unleashes their attacks, Miyuki runs to herself, trying to protect her, and is subsequently blasted by her allies. The smoke clears, and Miyuki is back at the controls of her game, pondering her response to the question: "Do you want to become the hero? YES/NO." Finally, in Miyuki-chan in X Land, Miyuki is enjoying the X movie in a movie theater when suddenly, she's sucked into the movie. Madness ensues when Hinoto and Kanoe mistake her for Kamui, Arashi blasts her away, and Yuzuriha offers her Pocky.
At the end of the manga compilation is a funny little four-pager
where the members of CLAMP discuss the production of Miyuki-chan.
Hear the ending of their conversation:
"But... what if it were a wonderland full of guys?"
"Girls are cute."
"Miyuki-chan's always wearing a sailor uniform, isn't she?"
"A sailor uniform is the best in action. It's got the little belly-button exposure and the flared skirt exposure."
"Say, CLAMP likes sailor uniforms and enjoys manga full of women. Aren't we a little weird?"