MAD DOG AND GLORY, starring Robert De Niro, Uma Thurman and Bill Murray. Directed by John McNaughton. Coming soon to The Palace. Category II. ANYONE who has seen director John McNaughton's disturbing debut Henry: Portrait of a Serial Killer will either never want to see another of his films or be queueing up for this one. Mad Dog and Glory should come as an equal surprise to both camps. It is as far from being a brilliant follow-up as it is from being a sickening study of the banality of evil. It is simply a nice little film, representing much major-league talent playing Sunday softball - and playing it well. It is also as close as we will get this year to another Scorsese-De Niro reunion, with Martin Scorsese wearing his producer's cap, disciple McNaughton directing and frequent collaborator Richard Price supplying an excellent script. The result, as when Scorsese himself switches into less brooding mood, is a downbeat fairytale from the darker side, stiffened with a shot of blackest mortuary humour, but ultimately as old-fashionedly optimistic as any Hollywood Golden-Ager ever was. Price makes something of a speciality of the kind of scenario we have here. His two most successful screenplays to date, The Color of Money and Sea of Love, both walked on the seedier side of lonely, middle-aged male urban life, and both featured essentially decent, downtrodden heroes given one last shot at happiness and self-worth. Same here, with bells on. Robert De Niro's Wayne Dobie is a cop who believes himself to be a cop in name only. He is a police photographer (or ''evidence technician''), almost inured to the horrors of his everyday work on Chicago's meanest streets. He goes home, he watches TV, he cocoons himself. He is ironically nicknamed ''Mad Dog'' by his precinct cohorts, dreams of being an artist, a hero, a lover, but would never risk enough to become any of them until a chance encounter with mob-connected loanshark Frank Milo, whose life he saves in a grocery store robbery. Bill Murray's smoothly menacing hoodlum Milo embodies the film's most original twist, but he's also the hardest character to take. He's a sort of malevolent genie (an ''expediter of dreams'', as he puts it), forced by his conscience/his analyst to reciprocate Mad Dog's good turn - but not without a pact-with-the-devil kind of proviso. Enter Glory, a waif-like beauty, herself bonded by debt to Milo and working as a waitress in his nightclub. ''Loaned'' to Wayne for one week only, she is guaranteed to light a torch in his heart. Uma Thurman never really grows into her role here, though she functions adequately as a motivating object of desire (a kind of Venus de Milo). De Niro, who could easily have filled either male role, is unstretched but nicely sympathetic. But Murray, playing somewhat against type, is the big winner, with a convincingly reptilian portrayal of an essentially unconvincing and contrived character. In his hands, Mad Dog and Glory has far more laugh-out-loud moments than most recent comedies have had between them. It could easily have fallen flat between far too many stools - as part romance, part drama, part comedy and part mob movie. As a sum of all these disparate parts it is surprisingly lightweight and slender. Also surprisingly successful. A minor treat from the majors.