AR mentioned Don Quixote in Objectively Speaking: AR's answers.
On a related note, I wrote a series of essays on Don Quixote which incorporates some of Dr. Bernstein's, Dr. Peikoff's, Dr. Smith's, Dr. Kenner's and Dr. Locke's ideas. Specifically, on crime-and-punishment, justice, heroism, and love.
For people interested in ascertining the exact objectivists sources that I use please refer to my full bibliography at www.don-quixote-explained.com. There you can also read my book proposal, sample essays, and sample study guide to see how I have included their ideas.