And much of its scariness derives from its initial inexplicability. The movie has described as "head-scratching," "mysterious," and "gloriously enigmatic." As one critic put it, "I kinda dug it but I have no idea if it's any good or what happened or where I am anymore and what aiiiiiiiieeeeeeee that last sound/shot."
This was my first reaction as well, but one thing critics haven't done thus far—probably because they're confined to the spoiler-free zone of the review—is offer a theory that tries to make sense of it all. This is a movie that begins with the epigraph, "Chaos is order yet undeciphered" (a line from José Saramago's The Double, the novel on which the movie is based). Though the movie may appear inexplicable at first, this epigraph suggests that we can make some sense of it, some order, if we just know how it can be deciphered. And Villeneuve has backed this up.