RORY: I feel like I’m on the Ricki Lake show.
LORELAI: Go Rory, go Rory.
Ricki Lake, popular daytime talk show which aired from 1993 to 2004, hosted by actress Ricki Lake, who had first gained fame appearing in John Waters’ films such as Hairspray. The show, aimed at a Gen-X audience (like Lorelai), focused on guest’s personal problems and “true confession” style interviews.
Rory feels as if she’s being interviewed about her feelings about her father as if on Ricki Lake. Lorelai chants, “Go Rory, go Rory”, because the audience would chant “Go Ricki, go Ricki” to encourage the host. Lorelai and Rory seem to be fans of this trashy TV show.