Maybe we should call it Dante's A Nightmare Before Christmas :D Has a nice ring to it too.
The conversations in this game really don't seem to affect much, but they seem to point you towards the "good" or the "bad" ending (I think that's what makes the difference). The bad ending is slightly different, but there's a huge thing happening that I don't want to spoil for you. It's definitely not Telltale though, it's a much simpler system.
If you like Playdead then you should enjoy this one. It's more low-profile, but especially amazing considering that one man made most of the game.