I've become a really big fan deciphering confusing movies, so can't really relate to being confused by them, as much as intrigued and eventually satisfied with solving the puzzle. What I really like are movies that fuck with your mind without you even knowing it. You're not confused at all because the plot is simple enough to follow, but then you go back and watch it again to find all these layers that you didn't realize were there.
Good examples are Adaptation (you're watching the movie itself being written, but then you're not, but then again you are), Rope (it's about murder, but really it's about homosexuality), any given Stanley Kubrick movie (his scripts, shot compositions and set design are filled with symbolism that open dual narratives - the Shining's really about white man stealing the natives' land in America, even though the book had nothing to do with it, Full Metal Jacket's about sexual brainwashing, even though the book had nothing to do with it, and Space Odyssey 2001 can be interpreted in too many ways to count... etc, etc).
What confuses me is how big budget CGI shitfests get made and people accept it, or how good franchises go bad, or how good video games get turned into bad movies (Hitman could have been sooooo good, but they ignored everything that made the games great).
P.S. Watchmen - read the book first, loved it, liked the movie's ending better.