There have been several glacial/interglacial periods over the last 120,000 years.
No. Since the last interglacial 120000 years ago (the Eemian, warmer than the current) and the one we're living in (the Holocene) there has only been a glacial period (cold ... ).
It seems the paper thus says that our current interglacial is the warmest interglacial since the last interglacial. That seems very uncontroversial.
Regarding the XKCD graph it's contradicted by its own source. The graph claims to use Marcott et. al 2013 as a source (see top right). Now, study the graph carefully. Then read the following from Marcott et.al 2013 (the abstract, even):
"Current global temperatures of the past decade have not yet exceeded peak interglacial values but are warmer than during ~75% of the Holocene temperature history."
Now study the XKCD graph again.