RORY: So the music selection, yours I assume?
LANE: Yeah, there was a bit of an education process going on.
RORY: I liked it. Very John Waters.
John Waters (born 1946), filmmaker, actor, writer and artist. He rose to fame in the 1970s making transgressive cult films such as Pink Flamingos (1972), often starring his childhood friend and muse, the drag queen Divine. His films became more mainstream in the 1980s, and his 1988 musical Hairspray became an international success and was turned into a Broadway stage musical. His most recent film in 2002 was the box-office failure, Cecil B. Demented (2000). All his films are set in his home town of Baltimore, Maryland.
Rory is probably suggesting that the cheerleader routine had the same surreal, kitschy appeal as a John Waters film.