I also finally got around to renting this (one of those I check out w/o Mrs. FFA knowing she wouldn't like it). Very violent, yes, but it was so surreal (impressionistic) it didn't really affect me all that much. It was a stunning visual experience- an exciting roller-coaster ride of a film- I would see it a second time, though I don't feel a need to own it (i.e. see it again and again). I loved Mickey Rourke's character- total fantasy, almost like the F4's Thing.
I would compare it to the Kill Bill films, which I also enjoyed. Violent escapism.
Yes, we're definitely getting desensitized to violence.