Not terribly entertaining although the introduction in the Oxford World Classics edition makes some very interesting points about it being a commentary on the idea of "English Gentleman" which made a lot of sense to me.
Some interesting tidbits.
Zenda was probably an inspiration for Nabokov's Zembla, which makes a lot of sense actually.
Also love this acrostic dedication (to his son Zafar) in Salman Rushdie's Haroun and the Sea of Stories
Zembla, Zenda, Xanadu:
All our dream-worlds may come true.
Fairy lands are fearsome too.
As I wander far from view
Read, and bring me home to you.