I finally get it!
I now get several things about Madness:
1. the Improbability Drive was a stolen idea from the Hitchhiker's Guide to the Galaxy.
2. Both Jesus and the protagonist accumulate battle damage: example, in Madness 4, the head bandage on the hero is damage from Madness 2, the torso bandage from Madness 3.
3. The clown that the hero fights in this Madness and Madness 2 is the same OMFG zombie clown that is the hero's target in Madness 4 and the unstoppable slaughterer in Madness 5. In fact, the sign that the hero pins him to the marshmallow with is the same sign he uses as a weapon in Madness 5: Depredation.
You see, I finally get it now. Thanks, Krinkels!