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"I'm off to see the wizard too, do everything that Dorothy won't do ..."
Dorothy is the name of the principal character in L. Frank Baum's novel The Wonderful Wizard of Oz, published in 1900, which was turned into a popular film musical in 1939.
Internet Movie Database entry for "The Wizard of Oz"
"... take out no MSG ..."
MSG stands for monosodium glutamate. The substance is used to enhance the flavour of many packaged and 'fast foods', and in Chinese cooking.
"Think I'll just go get drunk down on Avenue A ..."
Avenue A is a street in New York City's East Village.
"Where the hell is Memphis?"
Memphis, Tennessee, is well-known for its recording studios and record companies.
"He made them think about Marlon Brando on TV ..."Marlon Brando (1924-2004), American actor.