Wonderful, wonderful movie. As usual Johnny Depp went well beyond what most actors would do. In an interview he said he approached the character as he would any character in the script. He thought about the Hatter as a person, what shaped him, what made him become Hatter, how the traumas of the civil war effected him and what he was really like as a person.
He didn't go, Mad Hatter, funny costume, jump around, he actually did a profile of him as a person.
He does that with all his characters; he apparently made up an entire back history of Captain Jack and designed all Jack's tattoos himself as meaningful events and people out of Jack's past.
That is why Johnny is an well-respected actor as well as a star, and Tom Cruise is a grinning face in a movie.