I am on an Alfred Hitchcock kick right now, which I love. He may stand as one of the more mainstream, "classic" film figures, but I think it's in good reason. His films always prove suspenseful, clever, and full of chic costumes. Though perhaps less widely-seen, The Lady Vanishes adheres to these qualities with as much grace as popular works.
Unfortunately, I cannot write more, as I would spoil the rest, but I enjoyed this. Usually I predict outcomes early, but the surprises remained refreshing. The train setting enhanced the suspense here, as the claustrophobic environment trapped each claim and character. Also, while Lockwood and Redgrave maintained chemistry, rarely does a film include an ensemble cast that works together to create such a believable set of characters. The ending contains more outrageous events, but I still felt they could happen to me, or anyone, at any time.
Finally, Lockwood's one costume was fabulous. I cannot find the costume credit anywhere (maybe Edith Head?), but I loved watching her stumble around the train her little black dress and pumps. It made me want to try harder when I travel.