Yaji and Kita is a film that, as one other reviewer wrote, was definitely written for the Japanese. It's legendarily filled with pop culture references, including plenty of ones obscure enough to throw even a native Japanese viewer, and has its share of language jokes too. While you may pick up on some of those, chances are good that most of them will pass you by completely. My wife and I caught only a handful of them, and chances are you'll catch a few yourself, but you won't get them all.
But it doesn't matter. In the end, the reasons why many Japanese viewers thought this film was brilliant will be lost on most Western film fans - but like all good films, this one isn't relying on just pop culture and language to make you laugh. The film is full of outright humor that DOESN'T get lost in translation; from the very beginning to the very end, this film was making us laugh. What's lost in translation just isn't enough to stop this film from being great, great fun! I usually loathe musicals, but the musical set pieces in this film are just outright hilarious.
If you enjoy bizarre humor, especially visual gags, then you'll get a kick out of Yaji and Kita : The Midnight Pilgrims. The characters are very bright, very colorful and very vivid, and the humor is extremely off the wall, imaginative and playful. There's a story underneath it, and although the film never discards it, it's really about the comedy. The film featured a fair few respected actors, and their talents help to make every small piece of this movie worth a watch - from start to finish, there are set-piece situations and running gags that will keep you laughing and smiling.
We may never see this film the way a Japanese watcher would...but so what? It's great anyway!