I've been wondering this for a while, why he wears that hat he picked up in Tanchico, the one that every other character thinks is ridiculous looking.

So why does he still wear it now that he is out of Tanchico?

I had an idea: perhaps while he was in Tanchico he joined some "secret" fraternity/organization whose members all wear that fez. The fact it is a fez (or is described like one) made me think of the Shriners (a part of the Freemasons).

So, does anyone else think that he likely joined some such group while there? And still wears the hat because that is part of the rules of the society he joined?