The premiere happened. I think it went okay.
(I was slightly frustrated by the sound mix, which kept losing lines of dialogue beneath effects or music, which I was told by the producer had something to do with the way they had to prepare the sound for Sundance's specs (?) and won't be like that on the finished-finished film.)
There's a review up at http://www.efilmcritic.com/review.php?movie=11264&reviewer=128
and another at http://www.iofilm.co.uk/fm/m/mirrormask_2005.shtml
Joe McCabe's "Hanging Out With the Dream King" book of interviews is reviewed at http://www.rambles.net/gaiman_dream05.html.
I'm on the cover of Locus, with a photo taken at Worldcon in September. (Actually, I do have a right arm. Or I'm pretty sure I did then.)