Gilliam's passion project sums up much of his filmography: it conveys almost all of the director's rs recurring tropes, themes and elements. It isn't an easy-to-enjoy film (mostly due to Gilliam's style), nonetheless an interesting film to watch, if not for else, because of its cursed fame.
Don Quixote is mainly about human madness, a theme Gilliam also explored in 'The Fisher King' and in 'Twelve Monkeys', two films from the time when the director started developing this movie. As for visuals, style, and the overwhelming sense of chaos that the third act conveys, it reminds of 'The Brothers Grimm' and more in particular of 'The Imaginarium of Doctor Parnassus', (coincidentally two films that also had, on lower scale, a troubled production).
'The Zero Theorem' and 'Fear and Loathing in Las Vegas' are the only Gilliam films I found to be devoid of any direct connection with Don Quixote.
Adam Driver and Jonathan Pryce pull off memorable performances. I was pretty sure about Pryce succeeding, but didn't expect Driver to be this good, especially towards the end.
Frankly, I think this film was a bit underrated. It's true that Gilliam's post-'Fear and Loathing in Las Vegas' generally had little critical acclaim, but I personally couldn't find anything to complain about, or better, I couldn't find anything arguable that isn't a recurring element in Gilliam's cinema: a chaotic third act, a bittersweet ending, and so on. I enjoyed watching Don Quixote, but I can imagine most of the viewers to find it either uninteresting, dull, chaotic or 'pretentious'.
Don Quixote might be Gilliam's last film. With 'The Zero Theorem' he closed his dystopia Sci-fi trilogy, now he has finally finished the film he probably was most eager to complete, so it seems to me that there are no narratives left that he intends to explore. Let's just hope that I am wrong, and Gilliam will be doing another half-dozen of movies, but otherwise, Don Quixote is the perfect conclusive film for his career. Maybe it's not his best or easier to appreciate, but definitely it is his most representative one.