That one has been addressed many places. It has been argued that, given the epigram from Keats' The Eve of St. Agnes, it could be seen as the dream of the Baron from that poem, and that it is a tribute to Keats, having been written the centenary of his death. It has also had some very interesting psychological interpretations over the years, often using a Jungian approach. While it isn't among my favorites, I do think it is a richly interpretable story.
Glad you're enjoying the tales; it'll be interesting to hear your thoughts on the others as you go along...