This may be moved to the Discussion Board so that you can get a variety of answers.
To get you started, I would say that in the context of Great Expectations, I somewhat agree with Pip.
A vanity is an excessive pride in an ability, appearance, or quality. Although Pip's quest to become a gentleman never included the valuing of sorrow, unworthiness, or penitence, for other characters this was their case.
For example, Magwitch relished in his unworthiness. He was determined to make something of himself even if he couldn't do it through himself, that is why he pursued Pip. After being worn down and cheated by Compeyson Magwitch began to embrace the idea that he was a bad man because at the very least, it was an identity.
Joe's character found great identity in being sorrowful, unworthy, and often pentitent. Being treated terribly by Mrs. Joe, Joe himself knew nothing else to have much pride in. He seemed put off by Pip finding a way out when he should have been entirely happy for Pip. Joe has to somewhat fake his happiness.
I also believe that these were vanities indicative of the era that Dickens wrote about. Because there was so little to be happy about in the Victorian era, many did find great identity in these unhappy ideals.