Even The King Likes a Little Fun...
From the Loseley MSS (pages 55-56):
Directions from Michael Stanhope to Sir Thomas Cawarden to create six Masks (including costumes) for men of King Henry's stature so that the King might wear one and disguise himself among the other men. No known intention of this 'prank' other than to keep the other guests guessing as to who the King was. There si a scene in Shakespear's "Henry VIII" which is referenced in this part of the MSS wherein Cardinal Wolsy is attempting to discover the Henry while he is in such disguise. There is also a reference to the "Life of Wolsey" describing this same incident.
When I saw the scene of Henry in disguise in 'the Tudors' (yes, I fell prey to that series while sewing one afternoon), I thought it was simply a bit of fluff from the screenwriters. I had no idea that there was actually a historical basis to the incident!