And once ghostly father and human son are alone, the ghost tells Hamlet how he was murdered by his brother Claudius and begs to be avenged. Yet, in doing so, the ghost bemoans his own spiritual state — presenting a version of his afterlife which is nothing short of the Catholic doctrine of Purgatory. In Act I, Scene V, the dead king says:
"I am thy father's spirit,
Doom'd for a certain term to walk the night,
And for the day confin'd to fast in fires,
Till the foul crimes done in my days of nature
Are burnt and purg'd away."
Here Shakespeare is clearly presenting the Catholic doctrine of Purgatory and the need for justification and sanctification to continue after death if they are not completed in this life — a doctrine which Lutherans (and all other Protestants) bitterly denied. Shakespeare also clearly presents this state as a temporary thing, and so he is not speaking about hell, but about Purgatory — that is, the fact that the king died in an ill-prepared condition; that he did not have a chance to properly repent of his sins. Indeed, the ghostly king goes on, recounting his murder by his brother Claudius:
"Thus was I, sleeping, by a brother's hand
Of life, of crown, of queen, at once dispatch'd,
Cut off even in the blossoms of my sin,
Unhous'led, disappointed, unanel'ed,
No reck'ning made, but sent to my account
With all my imperfections on my head."
Clearly, this view of salvation flies in the face of Lutheranism and of the prevailing Protestant faith of England in Shakespeare's own day; and most certainly that of the English crown.
Now, hearing that his father has been murdered and is suffering in such a way, Hamlet is of course quite upset, if not driven to the point of madness by it. But is it merely a matter of fraternal love and wounded family honor that has so shaken Hamlet here? Or rather could it not be something more? If he was a faithful student of the University of Wittenberg — that is, a devoted Protestant intellectual who has been taught that a man is saved by "faith alone," requiring no venerable works and with no need to worry about a period of purgation after death (if not in this life), it becomes quite apparent that this apparition of his departed father has stripped Hamlet of his very religion and plunged him into a world where not only his presumably reliable theology has been ripped apart, but where now his very future (and that of his family and country!) depends on his personal action — that is, on his "works" (in this case, setting things right in the kingdom by avenging his father's murder). Quite a cold-water shock for a "comfortable" and "carefree" Protestant who had always presumed that one could, as Luther put it, "commit mortal sin one thousand times a day and still not lose his justification."
Dramatic and Theological Realities
And this brings us to the line in question — that is, the obvious jab at Luther's supposedly "biblical" doctrine. After the ghost disappears, Hamlet is rejoined with Horatio and the two guards, who pressed him to tell them what the ghost said. Hamlet, however, refuses and says to Horatio — that is, to his fellow-Protestant student from Wittenberg:
"There are more things in heaven and earth, Horatio,
Than are dreamt of in your philosophy."
In other words, “You Lutherans have it wrong.” Purgatory is a reality, and what they have been taught at Wittenberg (i.e., what Horatio still apparently takes to be sound doctrine) is merely a human "philosophy," and not a true religion (a truth faith) in any realistic sense.
http://www.catholicexchange.com/vm/index.asp?vm_id=2&art_id=29807
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