Symbolism, Imagery, Allegory
Not the magazine. Or the novel. Or the movie adaptation of the novel. We're talking here about the original Vanity Fair, the allegory that these and many other cultural productions are referencing. It's basically Sin City—half Vegas, half Amsterdam, and all trouble.
In The Pilgrim's Progress, there's an unusual narrative shift when the narrator himself (as opposed to one of the dream characters) enters to explain the history and character of Vanity Fair. It's the setting for one of the longest stops on Christian's journey, the place where Faithful is martyred, and, as the narrator tells us, one of Beelzebub's special real estate holdings. Reading Bunyan's description of the place, however, it's a little hard not to get sucked into the allure. It's glamour, glitz, fashion, and power, and everything is buyable.
Bunyan's inspiration for the allegory of Vanity Fair comes from Ecclesiastes, which opens with the lines:
Vanity of vanities, saith the Preacher, vanity of vanities; all is vanity. What profit hath a man of all his labor which he taketh under the sun? One generation passeth away, and another generation cometh: but the earth abideth for ever. (Ecclesiastes 1:2-4)
Instead of personal vanity (like saying "Oh, he's so vain about his hair"), the word here means something more like "worthless" (like "All his efforts were in vain: the man remained bald"). The things of the present moment in life—possessions, wealth, power, even our own bodies—mean nothing since they'll only pass away.
To the Puritans, the things of this Earth weren't nearly as valuable as the everlasting life they believed they'd be rewarded in heaven. They thought that placing any kind of value on material things was mutually exclusive to valuing the gifts of God. This is the situation at Bunyan's Vanity Fair, and it's the source of the hostility between the townspeople and the pilgrims.
Through this conflict, Bunyan is able to express the ideological conflict between Christian values and the influence of the material world. The people of Vanity Fair think Christian and Faithful are completely insane, calling them "bedlams" (Bedlam was the name of a notorious insane asylum, and is also a synonym for Hell or chaos). The pilgrims' clothing and speech (P473) make them really stick out in Vanity Fair, in the same way that the Puritans totally stuck out in 17th-century English society. Bunyan and his fellow Puritans were constantly mocked for their complete disregard of fashion—you might remember the white bonnets and black clothing from The Crucible.
Who lives there? In a way, it sort of sounds like everyone in Europe. This is one of the few places in the story where Bunyan references actual places (see "Setting" for more on this): "here is the Britain Row, the French Row, the Italian Row, the Spanish Row, the German Row, where several sorts of vanities are to be sold" (P469). Bunyan also talks some smack about the "the ware of Rome." With this, he's taking a shot at the Catholic Church, saying that it is just as "vain" and greedy as any power-hungry nation.
The situation of Vanity Fair, then, when Christian and Faithful step into it, is the real world in miniature. As Bunyan saw it, all of Europe was vain, worldly, and completely at odds with the principles of real Christians... just like Vanity Fair.
This opposition is dramatized in the trial of Faithful and Christian. To Lord Hategood (who is modeled off of the real Lord Kellynge who presided at Bunyan's own trial), Faithful owns up to the accusations brought against him. Like the Gospel accounts of Jesus's own trial and crucifixion, Faithful makes no attempt to justify himself and keeps his calm.
This attitude is itself justified, of course, by the way his soul is triumphantly carried to heaven in the chariot:
They therefore brought him out, to do with him according to their law; and first they scourged him, then they buffeted him, then they lanced his flesh with knives; after that, they stoned him with stones, then pricked him with their swords; and last of all, they burned him to ashes at the stake. Thus came Faithful to his end. Now I saw, that there stood behind the multitude a chariot and a couple of horses waiting for Faithful, who (so soon as his adversaries had dispatched him) was taken up into it, and straightway was carried up through the clouds with sound of trumpet, the nearest way to the celestial gate. (P500)
This final moment underlines the vanity of Vanity Fair, literally demonstrating that there is a very real life after death that outlasts all the money, pleasure, and power of all the Vanity Fair merchants combined. What happens in Vanity Fair stays in Vanity Fair... until it goes to Hell.