MAX: I’m very sorry.
LORELAI: Oh, don’t be. At least we get to wear skirts without being Scottish or riding a float in the gay pride parade.
MAX: Well, that’ll change someday my friend, and when it does, I still won’t wear a skirt. But I’ll applaud those that do, and then cross the street so nobody sees I’m with them.
Gay rights protests had been held in the US since 1965, and in 1970 Chicago Gay Liberation held a march to commemorate the Stonewall riot in New York, which had taken place the previous year. More parades followed around the country and they soon became annual events. Originally called Gay Liberation or Gay Freedom marches, the name Gay Pride became standard in the 1980s.
Particularly in cities which are already accepting of LGBT communities, the parades have a festive character, whereby the political stage is built on notions of celebration. Large parades often involve floats, dancers, drag queens and amplified music; but even such celebratory parades usually include political and educational contingents, such as local politicians and marching groups from LGBT institutions of various kinds.
Lorelai and Max’s interaction here is quite uncomfortable to watch.
The Annotated Gilmore Girls 