Spoiler alert: proceed with caution.
A Woody Allen picture usually feels less like a finished movie and more like an idea for one. This isn't always a bad thing, if the idea has the right kind of hook shape. The Purple Rose of Cairo (1985), Bullets Over Broadway (1994), and Sweet and Lowdown (1999), for example, are developed from tricky-but-uncomplicated sketch-comedy premises, which keeps Allen's talent in its most felicitous range while allowing his overqualified actors—Mia Farrow, Jeff Daniels, Dianne Wiest, Jennifer Tilly, Chazz Palminteri, Tracey Ullman, Jim Broadbent, Sean Penn, Samantha Morton—to bring subtextual nuance or bold comic elaboration to their roles. These movies are more risk-takingly imaginative than even the best of the old-Hollywood contenders in the broad category of backward-gazing entertainment, e.g., Yankee Doodle Dandy (1942), Meet Me in St. Louis (1944), Funny Girl (1968), and less cloying than even the Debbie-Reynolds-infested Singin' in the Rain (1952). (The only movie in the category that they fall short of is Pennies From Heaven (1981), Herbert Ross's Americanized adaptation of Dennis Potter's 1978 BBC miniseries.) In these movies Allen's creatures skitter across impeccably reupholstered fantasies of the past, and his work falls in the great American comic-movie tradition of writers and directors who keep the characters within vividly legible outlines so that the players' talents appear even more concentrated.
In his more ambitious phase post-Annie Hall, many people have come to prefer Allen's movies when he doesn't appear in them. The underlying intuition is that he needs to get over himself, though not in the way he thinks, by confronting the bleaker aspects of life and tippy-toeing to reach a supposedly higher plane of discourse. In Zelig (1983), for example, Allen starts from a great comic premise, a title character who takes on the characteristics of whomever he's around—mostly the physical characteristics (brown skin, Native American features, obese girth), but also mental characteristics. Next to a Frenchman he speaks French; talking to Eudora Fletcher (Mia Farrow), the hospital psychiatrist intent on getting to the root of his strange disability, Zelig speaks as if he were the doctor.
Zelig becomes a pop celebrity in the 1920s and '30s and Allen's cinematographer, designers, and special effects crew miraculously insert him into archival newsreels and fake the rest of the movie to look like old footage, while the audio snippets of Zelig talking to Dr. Fletcher crackle with the flaws of the recordings of the era. It's a feat of trompe-l'oeil, and of trompe-l'oreille, too. Allen's technique in Zelig is like Guy Maddin's replication of bygone styles of moviemaking, including their technical limitations, without, however, Maddin's genius for infusing those styles and technologies with his openly excessive love for them. Maddin's infatuation with the pop of the past festers into madcap, morbid, obsessional-confessional camp (see my review of The Saddest Music in the World (2003), although Cowards Bend the Knee (2003) may be even farther gone); Allen's work in Zelig is "faithful," more tastefully, and conventionally, fond. The most radical aspect of Zelig is that it's entirely narrated rather than dramatized, and presented as a documentary.