Not since "Did you get pears?" have I been so entranced by a Mad Men line.
Don Draper's ex-girlfriend, Rachel, appears in Don's dream and says, "I'm supposed to tell you you missed your flight." Dream-Don says, "Rachel." Rachel says, "Yes." Don says, "You're not just smooth. You're Wilkinson smooth." Rachel says, "Thanks."
The next day Don finds out that Rachel died the previous week. He goes to her apartment (where her family is sitting shiva) and meets a sister who knows about their affair (Don was married to Betty at the time) and is quite hostile. In the background, Rachel's children are very prominent. Since (if I recall correctly) Rachel dumped Don abruptly and married quickly, it seems possible that the eldest is Don's. Or maybe they're twins and both are Don's.
Several plot lines seem to have opened up in this first episode of the final season: Don's philandering past might have caught up with him. Roger and Pete's callous treatment of other people might have caught up with them. Peggy might have found "the one" (or might find that Paris is better than "the one"). Joan might have come to terms with her new status as an independently rich woman.
It's quite possible that none of this will ever get explained.