Malvolio is characterized as being exceedingly virtuous but also very pompous. In Act 2, Scene 3, Maria describes him as being puritanical, meaning overly virtuous and overly strict, just like those who followed the Puritan religion (eNotes, 129). She further describes him as being such a flatterer and so dignified that everyone loves him, especially Olivia. While being virtuous and dignified are not problems by themselves, when we couple these traits with Malvolio's arrogance and self-righteousness, we can see just exactly why the other characters dislike him. In fact, Malvolio's true downfall is his arrogance. Hence, one thing we can learn from Malvolio is that arrogance can be one's undoing.
We can especially see just how much arrogance led to Malvolio's downfall in Act 2, Scene 5 in which Maria so easily tricks him into believing that Olivia is in love with him. Malvolio is so full of himself that even before he reads the letter Maria leaves for him, he daydreams about marring Olivia and becoming "Count Malvolio" (32). The editors of eNotes point out that in Elizabethan times it was very rare that one should rise above the class that the person was born into, such as the working class, and foolishly ambitious to imagine that one could. Hence, Malvolio is not only being arrogant in imagining that Olivia is in love with him and wants to raise him up to her station, he is also being foolishly ambitious. It is due to his arrogant ambition that Malvolio so very gullibly believes that the riddle in Maria's letter is referring to him and that the letter is a declaration of Olivia's feelings for him. We especially see how gullibly he believes the letter in his declaration that he will do everything the letter asks of him to do in order to prove he understands Olivia loves him and that he returns her affection, as we see in his lines:
Jove, I thank thee. I will smile; I will do everything that thou wilt have me. (II.v.150-60)