Sky Captain wants to be what Star Wars and Indiana Jones were in their respective debuts. Star Wars was based on the old sci-fi serials, like "Flash Gordon", with a dash of "Lord of the Rings". Raiders of the Lost Ark also took its cues from the serials, like "Lash LaRue". However, those films were infused with a serious approach, state of the art filmmaking, and a welcome updating, in terms of dialogue.
Sky Captain attempts the same. Using a bold approach with CGI effects (which, alas, will look terribly dated in no time at all), it wants to recreate those sci-fi serials, with a cue to the more serious work of Fritz Lang's "Metropolis". The casting is spot-on (both Jude Law and Gwyneth Paltrow easily pass as 1940s stars of the silver screen), and the design is beautiful (especially the sequences in New York City), and everyone tries their best.
Unfortunately, it all comes off as too lightweight. Raiders, Star Wars, and the recent King Kong were a lot of fun, but they always took their subject matter seriously. You became lost in their worlds. Throughout Sky Captain it never seemed anything more than a clever parody of an old film. Which is too bad. The film is fun, and its heart is definitely in the right place. It has a unique look. But somehow it is forgettable fluff. Which is okay - but I think this movie is just a nudge away from being truly great. I look forward to what this director does next.