From an ultimate dim Thule— From a wild clime that lieth, sublime, Out of SPACE— out of TIME. (lines 6-8)
We might not always think about it this way, but every dream we have is, in some way, a vision of another world. People (and writers in particular) have been fascinated with this idea for a long time. Where do we go when we dream? Does the world of our dreams exist? What if waking life is a dream, and the world of dreams is real? These are the questions Poe is tapping into in these lines. He's leading us into another world, beyond our normal reality. Except for the title, he never says anything about a dream, so maybe he wants us to think a little about what is actually real.
There the traveller meets aghast Sheeted Memories of the Past— (lines 33-4)
One way we define our idea of "reality" is by connecting it to the present. The real world is what is happening right now. In this poem's version of reality, the past and the present start to blend. Ghosts from the past invade the poem, and it's hard for the speaker to tell where (or when) he is.
'Tis— oh, 'tis an Eldorado! (line 42)
Eldorado is a legendary golden city, a myth about a paradise on earth where the traveler would find wealth and happiness. This is another version of reality, another imaginary place, like Dream-Land. We don't think Poe uses this term by accident. This poem is all about searching for happiness in other worlds, about escaping the pain and dreariness of life for a better place. That's the heart of the legend of Eldorado.