It's one of Hitchcock's earliest uses of what would become a major theme for him, that of the innocent man pursued for a crime he didn't commit. In this case, it's a Canadian fellow named Richard Hannay (Robert Donat) who, while visiting London, meets a beautiful spy who is then murdered in his apartment, leaving police to assume he's the culprit. Hannay goes on the run and winds up entangled with a woman named Pamela (Madeleine Carroll), who does not believe his innocence at first. At one point they are handcuffed together, one of the earliest instances of that goofy plot device. Their quarrelsome travels through the countryside may remind you of Clark Gable and Claudette Colbert in It Happened One Night, from a year earlier.
There is currently a live adaptation of The 39 Steps playing on Broadway and London's West End, and touring the United States. It's a comedy version, with all the roles played by just four actors, and it has an abundance of slapstick, farce, wordplay and non sequitur Hitchcock references. You should see it if you get the chance -- it's very funny.
In the meantime, familiarize yourself by watching The 39 Steps at SlashControl!