The first review of Obscurities can be read here. It's pretty much wholly positive, if a bit nonplussed with the lack of new tracks. The reviewer does refer to the singer of "Plant White Roses" as Claudia Gonson, which feels like a mistake, but still succeeds in furthering my confusion as to the origin of that particular track.
Also, Neil Gaiman sheds scant more information on the aforementioned-on-this blog Grand Guignol musical he is writing with Mr. Stephin Merritt in this interview. In it, he refers to the project as "disturbing theatre with songs." Not quite a shocker to hear, of course, but completely exciting nonetheless.