The concept of us working through the challenges for the girls inside the imagination of our protagonist is clever and the realisation of each of those worlds gives us something special. Each of the combat worlds brings us some interesting twist upon an action/battle staple of some sort, all dripping with style and visual cool along with the song/sound track.
[Sucker Punch poster via the official site]
The visual effects were parceled out to a range of studios to get the job done for each of the fantasy worlds which were all chock full of CG. The CG Society feature explains more, essentially each sequence needed a CG environment plus the virtual characters.
These behind the scene vids show off some of the amazing work that goes on to create all we see:
With a film that dives into a range of fantastic worlds like this, you would expect that there are some cool concept artists fleshing out the creative intent.
First Aaron Sims: (via ConceptArtWorld)
And now Jerad S. Marantz: (via ConceptArtWorld)
EDIT: After watching a second time and with some help, I realise that the story is even more intricate than I thought. If I understand correctly we are actually seeing Sweet Pea's story in much the same way as we have layers of the dream in Inception - all very clever and much cooler.