Dolly style is heavily based on the use of vintage pieces, with antique and worn-out appearance and a historical background, drapery and tapestry elements, and Eastern European influence.
Unlike many other Japanese-origin styles, Dolly isn't particularly keen on cute, prefering a dark, mystical, and even creepy atmosphere. The most prominent store that carries this style, Grimoire, doesn't have that name for nothing.
Layering is an important aspect of this style. It tends to look rich and theatrical, with an ethnic aspect, but simpler, more practical looks may also be put together. Some of the common elements are dirndls, tassels, fringes, large belts, brocades, embroideries, broken doll parts and vintage collars from religious groups, societies and organizations, such as the Oddfellows.
This style might be hard to achieve, but an easier way to add a bit of Dolly flair to outfits is to combine it with other styles or to use some of the elements for a more casual coordinate. Grimoire-style printed tights are really fashionable in Lolita right now, and other elements can be crossed over.
Dolly-kei has a "sister style" called Cult Party-kei (some people do not differentiate between the two), which tends to be lighter and softer, with lots of transparencies. There might be post on that in the future.
I find this style to be really lovely and full of interesting details. The mix of textures and cultures in a single outfit, with no fear of taking risks, can serve as inspiration for many other occasions.