Synopsis—The Cage
The Enterprise picks up a radio distress call, meaning it was sent decades ago. Spock points out that a ship, the Columbia, did crash on Talos IV eighteen years ago. Pike decides that, absent evidence of survivors, they'll stay on their current mission.
But then they get an interstellar fax saying there actually are survivors.
They find a camp of old men and one hot chick. Before they can beam anyone up, Pike is lured away by the hot chick and captured by big-brained aliens. The camp vanishes.
The aliens can make illusions, and they've trapped Pike in their menagerie. The hot chick, Vina, tells him that the Talosians destroyed the surface in a war, hid underground, and developed mind powers that let them create illusions. Pike wonders why he's talking to an illusion, though Vina tells him that the illusions can still make him feel pain, so he can't brush them off.
The Talosians manipulate the transporter control such that only Number One and Yeoman Colt beam into the cage. They want to create a colony of humans from Adam (Pike) and Eve (Pike's choice). The phasers Number One and Colt beamed down with appear dead, but of course everything is an illusion.
Pike captures a Talosian and offers to test his theory that the phasers actually work on his giant head. This gets them back to the surface. The Talosians want humans to rebuild their civilization for them, but instead find we're too dangerous for their tastes. Also Vina is a crippled old woman, so she decides to stay behind and bask in illusion. Pike remarks that he agrees with her decision.
Synopsis—The Menagerie
Okay look, I didn't watch the same episode twice. I'm going off memory, and to a lesser extent, Memory Alpha.
Years later, Pike is horribly disfigured by radiation and becomes the stuff of memes with a giant wheelchair that blinks once for yes and twice for no. Spock kidnaps him and hijacks the Enterprise, and sets course for Talos IV.
Spock kills time by showing Kirk and Commodore Mendez a clip show of "The Cage." By the time they get there, it's revealed that the clip show was itself a series of illusions being sent to them by the Talosians. Pike beams down, and lives the rest of his life in their pleasing illusions.
Commentary
One of the big Star Trek memes is that the holodeck would be the death of us all, because who would ever leave the holodeck? Especially considering they have food replicators by the time of The Next Generation.
Turns out Star Trek started out by asking that question. But in answering it fully, I'd like to leap way forward in time, to "Homefront" (DS9 4x11). One of the things I appreciate about that episode is that Joseph Sisko runs a restaurant in New Orleans. He doesn't have to: it's a postscarcity society. Sure, Eddington bitches about replicator food not tasting real, but he's not exactly a reliable narrator.
The Federation is a society of mutual obligation, and that's why Sisko still cooks and serves jambalaya. The Talosians are shown to be horrible narcissists; they only let Pike go because they're afraid of humans, not because they have a shred of decency.
The Talosians offer to let Pike stay and live in dreamland, and he refuses—with the caveat that dreamland is fine for the actually infirm, hence the ending of "The Menagerie" is less jarring than it might seem. But in "The Cage," Pike refuses.
The Talosians speculate that this is because humans hate imprisonment. Fair enough, but why? There are many answers, but one hopes it's because we're not prepared to give up on travel, building, and creating.
There's so much more to say, but I'll leave it with this thought: Star Trek has, in its own ways, followed the material conditions of society from "The Cage" to "These Are the Voyages." We live in a world that, for most of us, denies us the opportunities available to citizens of the Federation. If we lived in their world, would we act like they do? And what's necessary to get us there?
Ultimately, that's the question that lives in the heart of hearts of this wonderful franchise.