'Coming out of the closet' is a phrase most frequently used to describe a gay man or woman opening up and telling the truth about their sexuality.
In this context it suggests either that Bruno 'came out' as gay/bisexual on finding Jesus, or (more likely) that he was already 'out' as gay/bisexual and put away this side of himself on discovering God (hence giving up his motorbike and it blowing up on the way to gay-friendly Brighton).
Brighton is a seaside town in England, well-known for its gay population and culture.
Saint Joan of Arc was a French peasant girl, born in the 1400s, who led the French army to several victories against the English at just 16 years of age. She claimed that God spoke to her and sent her visions, and that her actions were the result of divine guidance.
She was burned at the stake when she was 19 years old, but later declared a martyr. She was canonized in 1920 and is now one of the Patron Saints of France.
This (and the DJ's 'bum jokes') could suggest either that A Touch of Southern Comfort is a gay bar and the DJ is straight, or that the DJ is gay in a mostly straight bar.
Sir Launcelot (or Lancelot) is one of the Knights of the Round Table from Arthurian legend. He has come to epitomise the heroic 'knight in shining armour'.
War and Peace is a novel of considerable ambition and dimension, by Russian author Leo Tolstoy.
The full sonnet:
Let me not to the marriage of true minds
Admit impediments; love is not love
Which alters when it alteration finds,
Or bends with the remover to remove:
O, no, it is an ever-fixèd mark,
That looks on tempests and is never shaken;
It is the star to every wand'ring bark,
Whose worth's unknown, although his heighth be taken.
Love's not Time's fool, though rosy lips and cheeks
Within his bending sickle's compass come;
Love alters not with his brief hours and weeks,
But bears it out even to the edge of doom.
If this be error and upon me proved,
I never writ, nor no man ever loved.
The title is a play on James Joyce's first novel:
Fred Astaire was an American film star. Best known for his dancing, he was also an actor, singer and choreographer.