EMILY: “We’re in here?” That’s how you answer the door?
LORELAI: Well I was all out of Saran Wrap.
EMILY: I don’t even want to figure that one out.
Saran wrap is a brand of plastic wrap or clingfilm made for wrapping food; it is such a dominant brand that the brand name is often used for the item itself (like Kleenex).
Lorelai’s comment to Emily is a probable reference to the 1991 comedy-drama film Fried Green Tomatoes, directed by Jon Avnet and based on the 1987 novel Fried Green Tomatoes at the Whistlestop Cafe by Fannie Flagg; Flagg was one of the screenwriters for the movie. The film did well at the box office and was generally well received by critics.
In one of the scenes, a character named Evelyn (Kathy Bates) tries to revive her marriage by greeting her husband at the door dressed only in Saran wrap. She got the idea from the best-selling 1973 self-help book The Total Woman by Marabel Morgan, the #1 non-fiction book of 1974.
Morgan, who gave out marriage advice grounded in evangelical Christianity with a distinct anti-feminist bias, suggested that women greet their husbands at the door wearing sexy outfits, with Saran wrap being one idea. (It doesn’t work for Evelyn and her husband).
You can see this as either a reference to the film or the book, but it seems far more likely that Lorelai saw Fried Green Tomatoes in the 1990s than that she has read the 1970s book (and if she did, it was probably after seeing the film).