The film has been fairly badly received by the critics, being completely panned by Peter Bradshaw and Anthony Quinn. Their criticisms have some merit, the film is heavy-handed and the script lacks dynamism. However, for all that I thoroughly enjoyed it.
Dear Wendy is an allegorical satire on American culture; the setting is contemporary, in a very stylized small mining town in the American south, reminiscent of Dogville with walls. We see nothing outside the sides of the town square, all existence is within those four walls and the adjacent mine. The protagonists are a set of teenage misfits and dropouts in a town where the expectation is that all Real Men work in the mine (it's unclear what Real Women do). They're true innocents who stumble into gun culture, forming a club called "The Dandies", who develop a fascination with the technology and effects of handguns while maintaining a pacifist ethos. Through this they develop a new confidence together with distinctive style, finding happiness and friendship. There's amusing interaction as the members name their guns and build a personality for them to complement their own, including most notably the eponymous "Wendy".
Then the real world intrudes in the form of Sebastian, a black kid on probation for murder (er...?), who the local sheriff entrusts to the care of Dick, the leader of the Dandies. This is a disruptive influence, revealing the shaky foundations of the group's new-found self assurance. At this point the film takes something of a turn and becomes more of a parody of US movies rather than a cultural satire. There's plenty of low-angle camera shots, stand-offs in the town square, amazing feats of gunplay and heroic deaths all in the name of a laughably pointless cause.
If you dislike the conceits of Vinterberg and von Trier, I think you'll hate the film. Their construction of America is a a very blinkered European parody, but if you can forgive the arch stylization and unconvincing dialogue, the satire is very amusing and there's a smattering of jokes about balls and tits to appeal to the less intellectual parts of ones sense of humour.
I did feel quite uncomfortable about the race angle, there are two Black characters in the film, both of whom fall into stereotypes which are very baldly presented. The stereotypes aren't challenged within the film, and I'm not sure if that's deliberately left up to the viewer or if the director and writer shared the stereotype. After reading an interview with Vinterberg, I fear more the latter.