I appreciated McKay resisting the urge to make Cheney a cartoon. He was a man. He loved his wife, he loved his daughters. He was just a man who did some really, really heinous shit. Actually his wife and Rumsfeld came off far worse.
I can see how some of the McKay flourishes (breaking the fourth wall, the mystery narrator, the fake ending) would annoy some people, I happened to like them quite a bit. Great performances all around, one of my favorites of the year.