I haven't seen it yet, but I plan to do so soon. Pete Hamill has column today in the Daily News that everyone should read before seeing the movie, reminding us that the history in the movie is bunk -- go see it, but don't think it's real.
Like Dan'l, I'm a big fan of Luc Sante's Low Life as a good history of the seedier sides of NYC. It's another thing worth reading around the time you see the movie.