I had very high hopes for this movie. I love fantasy, Alan Moore -- who wrote the graphic novel on which this film was based -- is an excellent writer, I have a great fondness for 19th century literature, and, as lady_anne put it: "Personally, I'd pay to watch Sean Connery read the labels on cereal boxes".
On the whole, the film was enjoyable and worth seeing, but I wasn't as happy with it as I'd hoped to be. It was, however, at least as good as "Terminator 3" or "X-Men 2". (Or X-Men 1, for that matter. Not as good as, say, "Terminator 2", though.)
The very opening of the movie was strong, but parts of the first 30-40 minutes moved slowly. I found myself thinking, at a couple of points, "This isn't as much fun as I thought it would be." This included during action sequences. In fact, some of the action sequences in particular disappointed me. Some plot points seemed, well, incoherent. "They're doing what? Why is that supposed to work?" Some of the fight scenes were confusing, as the camera tries to follow several different characters, and things that at first appear to be unfolding sequentially are later revealed to be happening at the same time.
The film is rife with literary allusions of all sorts, which entertained me. Sean Connery was a joy to behold, as always, and so were most of the 'no name' actors also in starring roles. The revisiting of various characters from sf, adventure, and horror stories of the 19th century was charming to behold. Enough was explained about their background that you did not need to be familiar with the fiction that backed them, though I'm sure it helped. (For example, I've never read any of the source material on Sean Connery's character).
I plan to read the graphic novel next. Alan Moore has been a consistently good, and often great, writer -- I expect the graphic novel will be better than the film.