Somewhere, I read that a hero is only as good as the villain he or she faces off against. A truly effective conflict comes when the opposing forces have a bitter history together, and the climax of the two facing off at the end is most satisfying for audiences. Sky Captain robs us of that experience, unfortunately.
EVERYTHING else besides fedoras.
I play a lot of tabletop Role Playing Games and when setting up storylines, I've learned that the campaigns the players remember the most are the ones where the climatic battle was emotional as well as physical. One of the most memorable had very little challenge for the characters in terms of action but the emotional impact floored them. Sky Captain felt as washed of emotion as the heavily filtered images on the screen. The only emotion I feel when watching it is anger toward Polly. There is no emotional payoff at the end like there was when Captain America was going toe to toe with the Red Skull. The climatic reveal was more of a "huh, well that sucks ass and blows chunks".
I'm thinking we might need a RPG thread in this forum...