"Lady of Burlesque" takes an unusual combination of story, setting, and characters, and puts it together into a rather entertaining movie. The murder mystery plot, the cast, and the seedy backstage setting make for an interesting setup, with things moving at a good pace.
Barbara Stanwyck makes an interesting lead, as the burlesque star who has to try to track down a murderer while having some tart exchanges with her companions backstage. Michael O'Shea plays his stage comic role a bit too broadly at times, but he is often entertaining. Charles Dingle makes good use of his scenes as the police inspector, and he gives Stanwyck a good foil to play off of. Of the numerous other dancer characters, a couple of them are given some occasional good moments, although several of the others remain too indistinct from one another.
Almost the entire story is told in the theater and dressing rooms where the company is playing, and the script is generally resourceful in keeping things interesting within these narrow confines. The mystery in itself is not particularly complex, but it works as a setup for a number of interesting sequences. Overall, there's not anything remarkable, but it works well as light entertainment with some interesting character interaction.