This never really grabbed my attention. Much of the story is conveyed through dialog between Jack Ruby (Danny Aiello) and Candy Cane (Sherilyn Fenn), and they just don't have the chemistry or screen presence to make that format work.
The best part for me was the unexpected appearance of David Duchovny in a bit role as Officer Tippit. He shows up in the front row for both of Fenn's burlesque performances.