Summary: good popcorn movie. Go in with low expectations, and you won't be disappointed.
The effects are excellent, and that's really what Hellboy is all about: big, gothic eye-candy. If a many-tentacled monster is not your idea of a good antagonist, avoid this movie. The fairly predictable plot is lacking somewhat in a climax: it attempts to have about five, but instead of leading you from wonder to wonder they all lead you waiting for the even bigger climax around the corner, which never arrives.
The acting is surprisingly good for an action movie, and the dialogue manages to avoid any of the cringeworthy cheesiness of Van Helsing, for example. The action was giggle-worthy in a few places, and I like silly movies that make me giggle.
The mythology and the unabashedly dark nature of Hellboy himself are nicely fleshed out, as well as his strange adult/child persona, alternately a cigar-chombing, beer-guzzling lout and a timid child, writing unsent love notes and eating milk and cookies. Much is left unexplored and unexplained, which as the Matrix movies proved is probably a good thing, since explaining stuff fully tends to ruin the mystique.
Is it wrong that I noticed the fish-boy has surprisingly good muscle definition, and was blue? I think it's wrong. As far as eye-candy goes Hellboy himself isn't going to turn any heads unless they're really into muscles, but FBI agent boy is adequately cute in a pure-as-driven-snow way.