The fourth episode of American Gods had been quite Laura-focused who is trying too hard to escape from an endlessly frustrating Purgatory. In addition to that, Shadow also has more to do in the episode wherein he teams up with Technical Bay while Wednesday is seen hooking up with another old friend which doesn’t seem out of place in a death metal bar called Valhalla.
Laura finally understands that the earworm tune she keeps hearing isn’t due to some coincidence but is named after Baldr, one of the sons of Odin, which leads to her escape. Her escape is romanticized than the first appearances suggest. On the other hand, Shadow makes an alliance to track down Bilquis.
If you recollect, Bilquis has been kidnapped and is being tortured. The sole purpose behind this capture is to introduce a pantheon of African deities, the Orishas, who are also trying to reach out to Shadow. He has kept himself busy in this matter and therefore was unable to help Cordelia when she had called him to do so. Mr. Wednesday has still not found a way to escape to the outer world.