NOTE: This post is a review of a Hitchcock film that was seen projected on 35mm at the Belcourt Theater in Nashville, TN, as part of their Alfred Hitchcock: Master of Suspense Series. These movies were not watched on DVD, but in a theater, projected on film.
Hitchcock really put a lot into this. It is equal parts comedy, suspense, and mystery. Because it is so many things at once, it can sometimes seem a little lop sided, but you notice it rarely. Everything in The Lady Vanishes is top notch, as is expected from a Hitchcock film, by this point in his career.