This is a film that could have become a cult classic with better editing. Some bits just don't work - in the BBC TV showing these were edited out; if you can, get that version rather than the full version on DVD. If you do have the DVD version watch it once through then just skip the bits that left you cold.
The humour is mostly pretty low-brow, with some appalling puns, but there's more than one level; if you're a fan of DC or Marvel comics, watch sci-fi movies or know Australian and American politics and history there are some fine little gags buried in here.
There are also some very subtle sight gags - a film to watch the backgrounds as well as the foregrounds...
My particular favourite is what Christopher Lee eats in the film; watch the meal scenes and you'll see what I mean.
Don't worry too much about the plot - it is there and it makes sense, but it's a comic-book plot not a big story. Also, don't worry about some of the odder characters - they are ALL there for a reason, but if you haven't read/seen the right things you'll never work them out.
The songs are generally very clever and, despite the singing not being the best, well delivered. "Drinking Song" is probably the highlight, with Christopher Lee doing what he does best - showing his teeth and megalomaniac glare, although his "singing" is on a par with certain other actors (William Shatner and Telly Savalas come to mind). "Mr. Midnight" is also funny; shot as two scenes; Chris with leathers and whip, surrounded by scantily-clad dominatrices, Alan on a train trying to be anonymous whilst singing and dancing.
This is also Terry Pratchett's favourite film - I actually have one of his books signed "to the OTHER person who likes Captain Invincible". So there are at least *four* people in the world who loved this film - granted, the other two are my kids and they may be humouring their old man.