This play is often compared to "Waiting For Godot", most unfairly in my view, as Stoppard's early masterpiece is, above all else, brilliantly funny. Not in the way of an ironic, navel-gazing comedy about the horror of life, but in the way that makes the audience laugh out loud with genuine laughter.
Actually, of course, it IS about the horror of life, and of modern life at that, many of the greatest comedies have a tragic undercurrent, think of Sir Toby's "Chimes at midnight" speech giving texture and shadow to the sunny japes of "Twelfth Night", or of Woody Allen's best films, hovering over the line of comedy and neurotic bathos ("The Purple Rose of Cairo"..."Radio Days".)
Here, the early speech about a man who sees a unicorn sets a tone of lonely wistfulness that the blatant failures of the protagonists to match up to the epic events unfolding around them, obvious even to the duo themselves, continues throughout the play.
An odd effect of seeing only snippets of "Hamlet" is to make that work seem a real action packed epic. In reality, perhaps, "Hamlet" itself is very similar to "Rosencrantz and Guildernstern are Dead", the heroes of both prove in the end, despite endless talking and dithering, indecisive and inadequate.
Stoppard's work is an updating of Shakespeare's, and a comment on the modern world, in that his heroes are not given the redeeming power of poetry. For them, the unicorn is always a deer...with an arrow in its head....