I think I'm the only one who cares about this, but for anyone who may be wondering... Movie is made up of Sin City, The Big Fat Kill, and That Yellow Bastard. The two who I thought were Ava/Damien aren't...
As for faithfulness to the comics:
Sin City - 96% - A few lines were changed. Marv's childhood story (the puzzle thing) was left out, but still alluded to later (DVD hopefully?) The scene in his mother's house is missing. Marv escapes through the window instead of the door in the farm cellar. A few lines were changed--most obvious ones were in the confessional, Marv's response to the home security question, and the scene with Roark. Also, for some reason they don't show the tattooed policeman running, which I thought was one of the more iconic images from the comics.
The Big Fat Kill - 98% - More lines changed than in Sin City; the torturer's actions and words are given to Manute. The Molon Labe part is left out.
That Yellow Bastard - 85% - A *lot* of stuff was cut from this one. Hartigan's wife, the nurse, and lawyer are missing from the hospital scene. Nancy's vulgar lines are missing. Lucille is missing, as is the *entire* parole scene. The blonde cop is replaced with Hartigan's partner. In a Han shoots first edit, Hartigan grabs Nancy and kisses her in the hotel room. Hartigan does not disarm Junior (the second time) exactly as he does in the comics. The final scene is very slightly different.
Overall, my only real nitpicks are with the tattooed cop and the parole scene. Still, I loved it and so did my girlfriend, who has never read any of the books. The packed theater seemed to really enjoy it too (although, please, someone remind me never to see a ten o'clock showing on a Friday night again. We're in our early twenties and were, save one other couple, easily the oldest people there.) Everyone took it seriously for what it was and what it was doing (no one laughed at the Noirishness, unlike, say, Crouching Tiger, where you always had a handful of people who thought flying asians were hilarious in every single scene.)
One edit--I believe the two Josh Hartnett scenes come from Booze, Broads, and Bullets, but I'm going to have to re-read it to make sure.