Man, I want to see that movie too, alternate history is one of my favorite things and I love the art deco, Gernsbackian (sort of what Hugo Gernsback predicted the future would be like, he was a noted science fiction author) look. The planes are cool, a sort of a mix between a P-40 and P-51. Of course you've got to have Zeppelins, lots of Zeppelins. I also like stories of a "Steampunk" nature, sort of like where the Victorian Era never died and steam is used to power everything like cars, Zeppelins, mechanical computers (Babbage Engines), steam powered robots, and so on. Still, I like things like Flash Gordon and Commando Cody and so on, with sort of that Art Deco flavor so I think I'd like to see "Sky Captain..."
Not so much alternate history as alternate reality. But that can have an appeal as well.
As for the P-40, you may enjoy seeing it turn into a submarine.
Do you read Harry Turtledove??
With those tastes, you'd *LOVE* Sky Captain, and should really go see it in the theaters. I just saw it today, by luck on the IMAX screen at the local googleplex, and it really shines on a BIG screen, since so much of the "tech" in the movie (and the battle scenes) are on an enormous scale. It won't be quite the same on DVD.
My wife and I both loved the film, and she's not normally a fan of "science fiction" flavored films. Don't pay attention to the naysayers. This film has a character all its own, and is very original. And it definitely has that magic aura of the "golden age" science fiction, and early fantasy comics. Through almost every scene, I was sitting there with a big grin on my face, thinking, "this is *so* cool..." It'll bring out the "Flash Gordon" kid in you -- if you still have one. :-)
It's also very family friendly. It has no swear words, no real graphic violence (lots of thrilling action, but no gore), no sex (but one quick subtitled "nipple" reference), and the good guys win in the end. It's an old fashioned movie, in multiple senses of the phrase. And in this case that's a good thing.