I got the idea for this from watching the director's cut of Donnie Darko last night (I've actually seen it like 4 times in the past but I just felt like watching it again). It's definitely not the most confusing film I've seen. On the contrary, it's actually relatively easy to wrap your head around once you understand the stuff about the Primary and Tangent Universe, the Manipulated Living and Dead and the Artifact (the jet engine) making the Tangent Universe unstable. It remains one of my most loved films because of how cool the concepts are in the film and also how emotional it is and for its characters.
But no, my most confusing films would probably have to be Lost Highway, Eraserhead and Inland Empire. Seriously, I had no idea what the hell Lynch was on when he made these films and I can't even give an explanation for these. I wouldn't recommend watching either of these, especially Inland Empire, it's three hours long and made me almost fall asleep after the first 30 minutes. On the other hand... Eraserhead felt like the equivalent of torture to my eyes and ears but at least it was only 90 minutes, so pick your poison motherf**ker!
An honourable mention goes out to the 2001 Burton remake of Planet of the Apes for the electrical storm actually making time on the other end run backwards, so whoever goes through the storm first is actually what comes out last.
If you don't like films and just know a couple games, then maybe you can post them? :)