There's a lot to appreciate and fascinate about this movie. I actually hated it the first time I saw it, but it has grown on me to become one of Top 10 favorite movies. It's very unique, oddly touching, and leaves you with a lot to wonder about.
Did you see the theatrical version or the director's cut? The latter explains a lot more, though the explanations aren't very clear or satisfying. You can find some detailed theories on the internet, if you care to search. But the director has stated that the movie is open to interpretation, which I consider a good thing. I'll summarize my understanding of the "official" version below:
WARNING: All kinds of spoilers