Well, I'll happily stand in the apparent minority on this one. I enjoyed it very much. No, it's not as deep as it could be, and yes, it has some apparent holes, but the stuff that some others complained about actually helped form the mood for me.
A couple of details I heard that helped color this picture in for me:
*The artist: knowing he was a "starving artist" in Paris went a long way to set the tone for me. I started seeing this guy as one of my petulant, pseudo-goth, Depeche Mode-loving, art student friends from high school. Suddenly disembodied by this Mad Scientist, he was dealing with his lot in life the way a typical art student in high school dealt with something like calculus: he sulked and pouted. I also wondered if we were supposed to assume some kind of trust-relationship with the Mad Dr. before having his brain stolen, or if it was more of a sneak-theft.
*The lovely Lucinda: the author pretty much told us Z had a crush on her (no psi pun intended). She was why Z "called the cops"; so she could come and rescue the waifish robot.
*The vision thing: The Vain Dr. made it so Z could only see him in his virile prime; that was another clue that they had something going prior to the tinification of Z. This fiddling with his perceptions, in combination with the "unbearable pain" built in as punishment, may have had something to do with Z's ability to radio the Brits without having any recollection.
Granted, I was waiting for a twist on the obvious; something that made Z save the doctor instead of betraying him...and I thought he might have told us his real name, rather than Tin Man... but all in all, I was happy with the tale as told.