Reviews for Burn This have been mixed: most have noted strong performances by actors appearing in the productions, but they have also faulted the play as weak in elements of plot and character development. Wilson has stated in interviews that he waited to premier Burn This until John Malkovich was available to play the role of Pale, and in reviews of the play it was Malkovich's performance that was cited as one of the play's strengths. Frank Rich, writing for The New York Times, assessed Malkovich as a "combustive figure on stage, threatening to incinerate everyone and everything around him with his throbbing vocal riffs, bruising posture and savage, unfocused eyes." Rich continued to describe Malkovich, whom he declared,"delivers the firepower .. while he is equally busy tossing a mane of long dark hair, hoping to arouse the carnal interest of the very pretty young woman." But Rich was not complimenting Wilson's character development; he was complimenting Malkovich's performance. And after he devoted an entire column to celebrating the actor, Rich admitted that Malkovich's performance "yanks us through this always intriguing, finally undernourishing three-hour play ... more muddled than pointed." One of the problems with the play, according to Rich, is that there is no real reason for Anna to choose Pale over Burton. The script offers little reason for her shift in interest from Burton to Pale, and since any sexual charge between Joan Allen and John Malkovich was missing, the audience remained unconvinced. Instead, Rich suggested that the almost happy ending was more a result of Anna's biological clock forcing her to choose Pale. Rich did note that Larry gets to speak Wilson's funniest lines and that the character is played with "warmth and wry intelligence." Larry's job is to comment upon the actions and lives of the other three characters. This character's voyeurism and disconnectedness, asserted Rich, "seem to say more about the playwright's feelings of loss and longing than the showier romance at center stage." Finally, Rich pronounced Wilson's play as self-indulgent with excisable blind alleys and containing small details that substitute for plot contrivances.

Edwin Wilson, who reviewed Bum This for The Wall Street Journal, focused less onMalkovich's performance and more on the plot; he also found fault with the playwright Wilson's plotting of the romance. One of the major difficulties, explained critic Wilson, "is the shaky premise that Pale, underneath his rough exterior, is really a tender, caring man who has a healthy effect on others." Anna is able to create her first successful dance after she spends two nights with Pale. Yet, "Pale's behavior is so brutish that Anna discredits herself by taking to him." Wilson noted in his review that Pale's purpose may be to shake up people, especially Anna and Larry, who have a "basic grudge against the philistine, insensitive, materialistic straight world that rejects artists and homosexuals." By having Anna choose Pale, Wilson suggested, the playwright may be suggesting that "art is not enough, that homosexuality is incomplete, that a woman like Anna is really hiding from her true nature with homosexual roommates, that a macho creature like Pale is, underneath it all, a real man and just what Anna needs." Wilson concluded his review by citing the play's direction, the witty dialogue, and Malkovich's performance as the play's strong points.

Newsweek reviewer Jack Kroll commended the play's "voracious vitality and an almost manic determination to drive right into the highest voltage that life can register," but also pointed to errors in logic and false leads as a problematic. In a mostly favorable evaluation of Burn This ,...