A solid beginning to this classic series that suffers from a bit of bad acting and a rather unconvincing ending. It's a brave choice to use only a single actor to carry the episode but it forces that actor to engage in a running monologue that becomes tedious as he yaps on about how much money he has in his pocket and so on. A better actor might have made the monologue seem less awkward or perhaps the script needed some tightening.
There are moments of brilliance to be found in this episode. The camera work is very, very good throughout this episode, in particular during the theatre scene, which is a tour de force of fear and paranoia. The shot of Ferris running into his reflection in the mirror is genius, suggesting the shattering of his own psyche as he is forced to confront the internal terror he feels at being left alone. The Bernard Herrmann score is, of course, very good, with a definite 'Vertigo' sound and feel ('Vertigo' had been released the year before this episode aired).