[The four of them are walking through the administration building]
LORELAI: Lions and tigers and bears . . .
RORY: Oh my.
Lorelai and Rory are referencing the film, The Wizard of Oz, previously discussed, and a touchstone for the show.
In the film, Dorothy is walking through a dark forest with the Tin Man and the Scarecrow, and they become frightened by noises in the foliage. The Scarecrow wonders if there might be animals in the forest, and the Tin Man suggests there are lions and tigers and bears, which the others nervously repeat.
Dorothy gasps, “Lions and tigers and bears! Oh, my”. Pretty soon the three of them are skipping through the forest chanting, “Lions and tigers and bears, oh my”.
In fact, the very next creature they meet is a lion – the Cowardly Lion, who soon becomes their companion on the quest to see the Wizard of Oz.
Lorelai is suggesting that the administration building is intimidating, like the dark, scary forest, and that they need to keep their spirits up, like Dorothy did in the film. Like Dorothy, Rory will soon be confronted by a “scary” unexpected interview, although like the Lion, it won’t really hurt her.