This film is most famous for being the final film of Heath Ledger. Beyond the loss of his life and talent, it is unfortunate he was unable to finish the movie - his character could have been a real gem. As it is, some of the scenes were changed to allow other actors (Johnny Depp, Jude Law, and Colin Farrell) to finish the role.
It is a fantasy-based morality play set in the modern day and directed by Terry Gilliam (known mostly for his role as illustrator and animator for Monty Python, but also for directing films like Brazil, The Adventures of Baron Munchausen, 12 Monkeys, and Fear and Loathing in Las Vegas).
Christopher Plummer stars as the title character Dr. Parnassus who leads a traveling theater company comprised of his daughter, a young magician, and an old friend (played by Verne Troyer). Dr. Parnassus has some powers of mind control, but more the ability to create a world from someone's imagination.
There's a number of different wagers with the devil (played wonderfully creepy by Tom Waits) which bring the element of classic morality play into the equation. Things get even more confused when an amnesiac criminal (Ledger's character) joins the company.
Ultimately the plot is straightforward although the individual elements are sometimes difficult to piece together. It's done in a very "artsy" way with little explanation and a lot of trust placed in the audience. The characters are deep, but sheltered, which can be frustrating and the first 3/4ths of the film move much too slowly.
It's a fine try by Gilliam, but not his best work. I do think there was a lot of potential in Ledgers character had he lived to play him out.