Watched this tonight and I was kinda expecting a Lynchian/Cronenberg kinda headfuck - but actually, it's nothing like as complicated. Weird other worlds, yes, but storyline that makes linear sense in my view. Wonderful Gilliam worlds and at one point at least an ode to 'Knights of the round table' or 'I'm a lumberjack'!
If anything, watching it made me a little sad for the death of Ledger - it was clear as the film progressed and we saw less and less of him - replaced by his 'alternate versions' that he was simply dead by then.
If you're looking for it, you can work out at what stage he was gone. There's a definite entire sequence that he probably should have been in, but one clear shot of Depp in the 'real world' kinda gave it away. But as his appearance keeps changing, you don't really question it.
It's funny - the first time Depp appears in the film, initially I was looking at him thinking "Doesn't Ledger look like Depp, that's probably why they chose him...." D'oh! It was Depp.
I thought it was clever how they introduced the appearance of Farrell. Ultimately how Tony looks is derived from other's fantasies, or his own necessity to escape his true look.
Overall, I really enjoyed it. Shame. This, with The Dark Knight would have put Ledger somewhere at the top after languishing for so long.