I'd recommend reading this actual play thread for a sense of what the game feels like "in motion":
http://forum.rpg.net/showthread.php?t=278777
One of my favorite madness talents I've encountered over the course of running or playing the game is from a particularly cracked player of mine. It was this: "I am able to shapeshift into the form of my 12-year-old dead son who's a super detective like Encyclopedia Brown."
It was fantastic.
As to things being stacked against the players, it's no worse than a game of Call of Cthulhu and is actually, at times, considerably more hopeful than that. At least, in my experience.