Pellinore is one of the characters (along with Sir Palomides and Sir Grummore) that give some (often much needed) comic relief in the novels. His constant mission of finding the Questing Beast and his hilarious fights with Sir Grummore Grummursum provide most of the satire that White creates in relation to knights, chivalry, and knightly questing.
He's not just good for laughs, though. There's some real depth to Pellinore. First of all, he's one of the first knights that Arthur fanboys over, so the King gets some of his knightly education by observing Pellinore being ridiculous—he's pretty clumsy and he carries Questing Beast "fewmets" (read: poop) around with him at all times. Nasty.
Secondly, he becomes a more rounded character when he falls in love with a woman who has the really unfortunate name of Piggy (maybe she calls him Kermit as a term of endearment?). He admits during this time that he knows he's not clever, and that he knows people laugh at him for following the Questing Beast, but Piggy does not.
She loves him, and demonstrates that Pellinore has loveable qualities. Finally, the Pellinore-Orkney feud takes King Pellinore even further out of the realm of comedy. Even though he would never "hurt a fly" (K.26.6), he accidentally kills King Lot, and is paid back for it by being murdered by Gawain.