what else it could have been

I have many fond memories of my first worldcon, which was held in Boston in 1980. I vividly remember one thing that GoH Damon Knight said during his speech: when he'd seen "The Wizard of Oz" as a kid, he was so disappointed at finding out at the end that it had all been a dream. Apparently the grownups responded:

"What else could it have been?"

I wonder how many fans of F/SF have had similar experiences.