This was almost a 50/50 combination of North by Northwest and It Happened One Night (which premiered just a year before this). Rather than experimenting with many genres or stories, Hitchcock has more of the approach that Walt Disney took: "Get a good idea...and work at it until it's done right." It's clear that Hitchcock really only has three ideas: blonde women getting mixed up in trouble, rocky plains, and trying to figure out the most interesting way for someone to be murdered. The 39 Steps is the second consecutive movie where he has someone murdered in a crowded theatre. I'm not sure if he does that again in his career. Maybe he got sick of it, like eating too many donuts in one sitting. Of course he has plenty more ideas but even with his Mcguffin principle he would certainly admit that it's less about the story and more about how you tell the story. In the Hitchcock/Truffaut book he talks about how he always has wanted to film a murder in a tulip field—it's just what this guy thinks about on his free time.
Some more specific notes: In the beginning there was a shot of the crowd: some people were lit more than others and for no specific reason but I liked that about it. Similar to showing the brushstrokes in a painting.
In these old movies, there's a commonality of having a sequence where a guy is taking a girl up to his room. They start at the ground floor of the apartment and chat, go up to the elevator, cut to getting out the elevator to chat, then they walk to the room accompanied by more chatting. Once at the room there is more chatting, a drink, then more than likely the man gives the woman no personal space and kisses her when he feels like it. It's fun to see these because it's more relieving to see the industry more as a bunch of men trying to do the same thing rather than a bunch of men all doing their own uniquely genius masterpieces. Another note about this genre: a lot of it is ordinary men getting caught up in trouble as well, similar to Die Hard, and it's always exciting to see an ordinary person all of sudden have tricks up their sleeve and clever scheming.
There's a shot of a Hannay (Robert Donat) bursting through a window and I wouldn't be surprised if that's where Sergio Leone got the idea in The Good the Bad and the Ugly.
A quick actor blocking note: there is a part where Hannay gets introduced to a random man I believe by Mrs. Jordan (Helen Haye) at the party with the Professor (Godfrey Tearle). Hannay goes behind Mrs. Jordan (away from camera) to be introduced even though he is blocked almost completely by her and I thought that was awkward and confusing. But then she leaves right away, allowing us to see both her exit and now Hannay completely, whereas if she was behind him it would have blocked her exit. I suppose since I noticed it was awkward it could have been more successful, but it was a simple way to problem solve.
A note on creating mystery which Hitchcock uses twice in this film: at the end of his chase scenes, he'll show the man being chased in his hiding spot, then he'll cut to the chasers for some discussion, cutting finally back to the original man's hiding spot, but the man isn't there. Simple way to create intrigue.
A final note: I liked the on-foot chase much more in Butch Cassidy and the Sundance Kid, and I realize because the audience never sees the people chasing the two titular men, we only see what our heroes see. In this film, the people chasing Hannay and Pamela (Madeleine Carroll) have lines, and there are many shots of them. I thought it was much less successful.
It is nice how the film's story is wrapped in a bow, book-ended by theatre scenes with Mr. Memory (Wylie Watson), and how this story's Mcguffin isn't completely thrown away.