I'm not particularly into shock for shocks sake, so the first part of Moulin Rouge really bothered me as well. After watching the entire movie I was intrigued however. So I watched it a second time, observing carefully.
I think the first part was shocking on purpose, to tear down your vision and walls. I believe Baz wanted everyone completely off balance before he really started in on the story. It worked very well I think. I mean, come on, how often do we sit down at a film with our idea of the plot and actors already in our minds... "ok, this is the gratuitious first action scene, here comes the glib comment to end the fight, Hey, it's that guy from the matrix, etc". Best way to make you stop doing that is to beat you until you can't think straight anymore, and that's what it did.
Yes, the music was iconoclastic, but again on purpose. To me, it was much less distracting in this film than in A Knights Tale (probably personal genre bias). Besides, anyone who watches Baz's flicks should know to expect some anachronism, the guy thrives on it.
Haven't seen battlefield earth yet because I liked the book too much. Mission to Mars wasn't anything approaching the kind of venomous hatred everyone has for it...granted it wasn't a very good movie, but come on...