Sam Shepard is fascinated by America's folk heroes, which for him means not merely historical and legendary figures, but also movie and pop stars. These larger-than-life people and their illusions—almost everyone wants to be someone else—populate the stage in his free-wheeling new play "Mad Dog Blues."…

[Kosmo] is apparently a modern prototype of the movie cowboy. Yahoodi … is not so apparently a modern prototype of the movie gangster, although he acts shifty and dreams about being Bogey. It is possible that Mr. Shepard did not mean the two to represent anything except themselves, but the emanations they give off of their classic predecessors add an extra level.

The best thing, however, when seeing Mr. Shepard, is not to look for explications, explanations, or levels, but to relax and let yourself be carried away. "Mad Dog Blues" is much more obviously an entertainment than is some of...