Besides photoshop work, the main element in the film's look is extremely low key lighting, ie you want strong lights casting harsh shadows with little in the way of ambient light. Also well defined rim lights for the 'comic' look. Think old black and white pulp comics like dick tracy or even film noir. Sin city is basically a reinvented pulp comic and the movie follows the comic's look almost exactly.

As a rule of thumb, start with your key light 6-8 times as bright as any other light in the scene, then tweak to taste.