Vanity Fair is a Fair of evil and a metaphor for sin in this work. Everyone at the Fair represents some sort of evil and opposition to God. When the pilgrims arrive, it is evident immediately that an atmosphere of evil pervades the Fair. The "Prince" himself (the devil) is said to pass through Vanity Fair, so comfortable is he with all of the "vanities" that are sold there. The pilgrims stand out immediately from the rest because they are good, but the people of Vanity Fair are evil. The pilgrims will only buy truth, but truth is not for sale at this evil Fair, so the pilgrims are cruelly treated. They are spat upon, jailed, tortured and Faithful is killed at the stake.
Faithful is a Christ-like figure. He stands for the truth and defends God, but when a jury of your peers consists of:
Mr. Blind-man, Mr. No-good, Mr. Malice, Mr. Love-lust, Mr. Live-loose, Mr. Heady, Mr. High-mind, Mr. Enmity, Mr. Liar, Mr. Cruelty, Mr. Hate-light, and Mr. Implacable
What chance does a righteous man have? Faithful is condemned. The significance of all of this is that Pilgrim's Progress is a Christian allegory and the plot and characters all stand for some part of Christian theology. Faithful remains "faithful" to the truth, as did Jesus, and he is condemned to die because of the sin of others, not any sin of his own.