I finally got round to watching this the other night. Overall I enjoyed it although I felt a little as if it couldn't decide if it wanted to have a 'proper' narrative or just be a bit of art-school weirdness composed of a series of not-necessarily-related scenes and images. Like the bits where they all just stand still and point in various directions...I dunno, maybe I'm just not versed enough in that sort of film to make sense of it.
I thought the script was great, however, and the cinematography was superb. Certainly one of the better representations of the psychedelic experience I've seen, I think. I also really enjoyed Tyres-from-Spaced as the menacing Irishman (complete with a surely anachronistic Ulster accent?).
The idea that they're all dead and enduring a sort of purgatory would certainly make sense, in fact I was reminded slightly of The Third Policeman as I was watching it - especially at the end as they rejoin the still-raging battle, presumably to start the whole bizarre experience again from the beginning.