Cliché Storm: In-universe and justified. Roy isn't a playwright or a screenwriter, he's just a stuntman improvising a story based on the one movie he's worked in and the feedback of a five year old girl for whom English is a second language. So the Story Within a Story being simplistic, filled with plotholes, and being a bit of a Fantasy Kitchen Sink makes perfect sense.
Crosses the Line Twice: The Black Bandit's almost one-sided fight against Governor Odious is incredibly heartbreaking to watch considering Roy is consumed by the Despair Event Horizon and shows him and his character zero mercy, but his self-loathing results in some hilariously pathetic jabs at his character, such as Odious saying in an exasperated tone while watching the Bandit struggle to swim, "For Godsakes, the water's only waist high!" and even Roy going so far as to state that the Black Bandit is such a coward, he had his fingers crossed while taking his oath.Mood Whiplash at its finest.
Designated Hero: Roy is supposed to be a good guy because he lost his girlfriend, he's hurt, and he's nice to Alexandria but we don't know exactly WHY his girlfriend left him, it's heavily implied that he did the stunt that crippled him out of his own accord, not because the studio wanted him to, and he's nice to Alexandria so she can steal drugs for him. This is however, quite intentional.
Designated Villain: Sinclair is cast as the evil Governor in Alexandria's mind, but we really don't see him do anything wicked in the movie. He supposedly took Roy's girl, but we don't know the context about that situation, and the guy did show up not only to visit a lowly stuntman, he also was humble about his status as a star, nice to Alexandria and even showed up at the showing at the end where he displayed what could be seen as displeasure in Roy's life-risking stunt not making it in the final cut as well as a distaste for the risky stunts used by the movies. Likewise to Roy's designated hero status, this is intentional.
Fridge Brilliance: The more you look at the fantasy part of the story, the more you realise exactly how perfectly it fits a child's imagination of the story she's being told.
When Alexandria appears in the story as the Red Bandit's daughter, he quickly adds that she was "from a previous marriage." The existence of extra-marital sex (or even sex at all) wouldn't exist in the mind of a young child. This could be Alexandria trying to interpret this in a way that corresponds with what she knows about the world so far, or if the mentioning was added by Roy, could be a way to portray Alexandria's character as a non-bastard child or his character in a better way.
The scene with Alexandria stealing and eating the communion wafers seems a bit like a Big-Lipped Alligator Moment, but it puts a great emphasis on Roy asking Alexandria if she's "...trying to save [his] soul." She has absolutely no idea what the wafers signify and has no idea what he's talking about. But when you think about the fact that both characters are probably Christian and that the flavor of Christianity practiced during this time would most likely believe that people who kill themselves go to Hell. Alexandria eventually helps Roy want to live again, even if she doesn't exactly understand what's going on. According to their time's standards, she does in fact save his soul.
When Roy narrates the Indian's backstory, the visuals depict an Indian as in the subcontinent, despite Roy's use of the words "wigwam" and "squaw" clearly referring to Indian as in Native American. However, this makes more sense when one remembers that we are seeing the story as Alexandria imagines in. Having grown up in Europe, she would of course hear the word "Indian" and think of the subcontinent, not the Native American.
Roy says that the Blue Bandit and his crew were hanged. Alexandria imagines their bodies as hanging from the ceiling like a chandelier, instead of as hanged with a noose.
Fridge Horror: A meta and in-universe example. Alexandria will never see Roy again, but will likely remember him. Imagine when she's older and eventually realizes she accidentally aided someone with a suicide attempt.
Heartwarming Moments: The ending, though bittersweet. Roy's most likely permanently crippled, and the stunt that cost him his career didn't even end up in the final cut. But his legacy can never end, at least in Alexandria's mind, since she sees Roy in every stuntman in every movie. "And he's going 'mwah, mwah, mwah! Thank you, thank you, thank you very much...!'"
Mood Dissonance: When Roy "overdoses on pills" and goes unconscious, Alexandria assumes that he is merely sleeping and starts making silly faces at him. This simply highlights the fact that Alexandria has no idea what's going on and makes it even more heartbreaking.
Stop-motion is the creepiest way to depict a fever dream.
Chandelier of hanging human bodies, anyone?
Reality Subtext: An in-universe example. Roy's treatment of the Red Bandit eventually becomes heavily influenced by Roy's self loathing and his suicidal tendencies.
Visual Effects of Awesome: Can a film be said to avert this and still be gorgeous? This movie has some of the best Scenery Porn ever, but every single one of those fantastic locations and impossible pieces of architecture is a real place. These scenes have minimal CGI, mostly to remove things like railings or safety wires. The result is one of the most beautiful movies ever.
What Do You Mean, It's Not for Kids?: Reviewers like to compare this film with The Princess Bride, without mentioning the amounts of violence and adult themes that this film had. Not to mention that the narrator of "the delightful fairy tale" wants the little girl to assist him in killing himself.
