It isn't super deep, but still has plenty to do. You have the five main modes (the monster battles), each with their own distinct behavior and atmosphere. The SoR "Power" feature is similar to a bulked up Star Trek "Away Team" where the shot pattern changes and shots become worth more.
Then there is Triple Knights Challenge multiball, and in the case of the prem/LE only (sadly), Catapult multiball, which can be stacked together and on top of a mode.
WAR hurry-ups add a nasty bit of risk/reward and break things up a bit.
Doing well in the modes and hurry-ups collect KNIGHT letters which lead to the Retro and RANSOM modes based on the older games in the series. The first one serves as a nice, very obtainable mini-wizard mode and a nice "break" from the battles. I still haven't seen the second one...
The super modes are a very cool side objective, add nice risk/reward and some cool strategy. Is it worth hitting that nasty dangerous center shot to start another super? Should I concentrate on boosting them instead of going for my mode shots? Oh crap I want to use my magnasave for a safety net, but if I do that will cash in my supers early! It's a great extra layer, and can be very lucrative.
Finishing all the battles gets you to the main event against BK himself. This isn't terribly hard to get to, but beating him is another story (at least for me) as it requires a lot of super dangerous center shots. Very intense and satisfying to reach. But that's not the end. If you manage to beat him, get ready for the big payoff, RAGE multiball. I've only managed it once, and it was awesome.
In all I guess I would consider it average depth. There is definitely more to do than say Iron Man, Munsters, most '90s games, etc, but it's no where near TWD, BM66, JP levels of depth. I would put it somewhere around Spider-Man's depth level I guess (but nowhere near as long playing).