The setting of the play, Harry Hope's saloon, was taken from O'Neill's own attendance of Jimmy-the-Priest's saloon and rooming house in the early 1910s. O'Neill wrote the play in the last years of his life and The Iceman Cometh is haunted by the same sense of death and despair that characterized the last part of the playwright's life. To some critics, the play reflects the author's struggles with alcholism and his disordered youth. It builds directly on O'Neill's encounters at Jimmy-the-Priest's and the sense of hopelessness and being failed by the American Dream that these showed. The dive was also the place where O'Neill attempted suicide in 1912.
In addition, the character of Hickey appears to have much in common with O'Neill's older brother James, who had proved a disappointment for Eugene. The third links below takes you to a comprehensive New York Times article that reconstructs all the autobiographical elements of the play. However, not all critics believe that the play can be read as an autobiography of the author. See, for example, Eugene O'Neill's Last Plays: Separating Art from Autobiography. By Doris Alexander. Athens: University of Georgia Press.