On the surface, Pale Fire is straightforward. The poem is a touching — but not, it would seem, terribly good — autobiography and meditation on mortality. Kinbote turns out to be the deposed king of Zembla, a small country in northern Europe, and is hilariously self-important, generally telling his own story rather than commenting on the poem. When he briefly returns to the poem, it is usually to misread it entirely. Nabokov clearly had great fun writing this, and he deadpans it all the way through.
Looking a little deeper, the story is more tangled. Kinbote is detached from reality and we begin to suspect that he is not really a deposed king, that Zembla may not exist (within the novel), and that Kinbote may not, in fact, even exist. One thing I think we can take for granted is that Shade is dead at the end of the novel; what author would waste “Shade” on a living man? Second, it is pretty obvious that Kinbote is insane and/or a fabrication. Towards the end of the novel the Kinbote voice begins to slip and very late the bizarre Gradus/Gray distinction is made.
In the end it seems clear that Kinbote has murdered Shade and stolen the Pale Fire manuscript, that Gradus/Gray is a total fabrication, and that Kinbote is writing his commentary while hiding from the law. I’ve heard other explanations, for example that Gray is the murderer; this doesn’t feel right. Also Kinbote has told us that playing word golf he can turn “live to dead in five steps,” surely not a coincidence.
Pale Fire is a wonderful puzzle. It is strongly reminiscent of Gene Wolfe’s work, Peace in particular. My guess would be that some of the odder words used in Wolfe’s novels (nenuphar, psychopomp) indicate that he was influenced by Pale Fire.