James Thurber, "The Secret Life of Walter Mitty" (1939) from James Thurber: Writings & Drawings:
The classic reading of "Walter Mitty" is that he's an archetypal Thurber character, much like the characters in his cartoons: little men paired with large women. (Remember that cartoon of his where a man is returning home--and the house has a scowling woman's face? Yeah, like that.) So Mitty escapes his wife with various fantasies where he's the best at something--usually something ineluctably masculine, as the 1939 mind would have it: he's flying a Navy plane or fixing machinery or performing surgery or on the stand declaring his superior marksmanship before knocking out a man for insulting a woman, etc.
So, if we were writing a paper on this (how's that for a fantasy?), we definitely would have to address the issue of gender and masculinity. But we also should notice that Mitty's world is circumscribed not just by his wife but by lots of men in manly roles: the police officer who tells him to get a move on, the parking lot attendant who shows off how much better he is at driving, etc.
There's a lot of humor here in the overblown fantasies of Mitty and in his humdrum put-upon life and in the made-up language (fake medical jargon); but the whole thing is overlaid with a real sense of sadness--and pettiness. Walter Mitty can go around wishing his life was more adventurous because he lives in a very stable situation--while he may be an office drone (there's no evidence, but we can assume--and let's not minimize the hell of that position), he's not exactly suffering from real life drones or any of the other significant survival problems faced by many people in our and his world.
In a way, it reminds me of my favorite/least favorite Twilight Zone episode, "Time Enough at Last," about a man who wants to read but is put-upon by his larger wife and various men in positions of authority over him. When I was young, I saw that as a terrible tragedy inflicted on an innocent man who just wanted to read. As I got older, it was harder to see that Mitty-esque hero as a real hero: sure, everyone around him is needlessly mean (unlike the people here, who aren't really all that mean to him), but his triumphant trade-off at the end shows a real lack of humanity: would it be worth destroying the world in order to get what you want?
Mitty isn't that bad, but it also reminds me of how many of my friends reacted to Swingers or other movies where the people in it are somewhat cool on the surface. But if you look below, you'll see they've got some issues, which is why I always thought it was weird when people seemed to identify with the Swingers guys. Same here: to all you people who identify with Mitty, you might want to take a look at your life.