CHUD recently did an episode of their podcast that was a feature-length commentary of the film, which was pretty funny and mostly focused on how the guy that made it was never heard from again. I think it was "CHUDdotcommentary #2" (#1 is "Taken" and #3 is "Prometheus"), and it's worth a listen!
Sky Captain actually had pretty solid critical reviews. It's sitting around 72% on RT. I hated it the first time I saw it in the theater, but I recently rewatched it and it wasn't as bad as I remembered. There's next-to-no plot, but it's basically an homage to 30s-era serials which were also pretty low on plot. It does have HDTGM favorite Bai Ling, though.
I think it's not a bad film- I think it's a really unique experiment that the How Did This Get Made crew could really have a lot of fun with. Not all their movies are stinkers- for example the recent Devil's Advocate isn't considered a "bad movie", but they can certainly find the outrageous parts of it to talk up.