If you haven't seen the early Zorro movies, which are very different from the later grimmer movies, Zorro the Gay Blade is simply entertaining; it becomes a lot more interesting if you have seen the 1920 The Mark of Zorro, with Douglas Fairbanks, or the 1940 remake with Tyrone Power. In both of these, Don Diego de la Vega returns from Madrid to discover rampant injustice in his native California and promptly starts acting the overly-cultured fop while he figures out how to deal with the situation. He discusses fabric and fashions with the alcalde's wife, disdains fighting as barbaric, and entertains friends with silly magic tricks - while riding out as Zorro when needed. The fop covers effectively for the hero.
Right from the beginning, The Gay Blade announces its intentions of playing on these conventions by using footage from the 1940 movie to set the stage for the action. And play it does. "Zorro" is actually a pair of twin brothers; the heroic one hurts his foot early on and can't be Zorro any more, so his flamingly gay brother takes over for him. The gay Zorro is hysterical with his insistence on a more colorful wardrobe in mauve, peach, and cordovan, all carefully co-ordinated, and he pulls off the required exploits with panache while his brother entertains the alcalde at home. In a nice reversal, the hero ends up covering for the fop.