I just loved this movie! Woody Allen both embraces and criticizes the nostalgia that preys on creative people.
My favorite part of the film was when Gil was transported to the 1920s and then he and Adriana get in a horse-drawn carriage which takes them to her ideal era, the 1890s. They then encounter Belle Epoque artists complaining about their own time and wishing it were the Renaissance. So spot on! We have done this and will continue to do it no matter what year we live.
There are so many of us that think we belong in a different time, but what we're really doing is hiding in impossible fantasy. The past is always easier and more glamorous because we don't have to live in it. We're often disenchanted with the present because we encounter it every day and it is therefore inextricable from the difficulties of our lives. The past is both exotic and comfortingly familiar, and so we think it must have been better. But people have always wanted what they can't have, even those lucky ones who lived in eras we long to visit.
Another great Midnight in Paris moment is when Gil recounts his nightmare of going to a dentist who doesn't have Novocaine. I think by glamorizing the past we often forget how horrible certain periods were. Like Gil points out, these people didn't have antibiotics! Sure the 1920s had beautiful flapper dresses, but there were some serious downsides too.
Salvador Dali and the Surrealists were also fantastic. They were totally on board with the time-travel thing.