well it's one of those films that you need to have previously knowledge for:
you need to read a) the bardo thodol (aka Tibetan book of the dead) ...I suggest the audiobook version read by Richard Gere haha.
b) DMT: The Spirit Molecule (there's also a documentary if you're lazy though)
and watch the 6 hour Unsolved Mysteries: Ghosts boxset.
it's one of the best films ever made in my opinion, 2nd only to Vertigo. incredible how he managed to do the whole thing from the perspective of the main character (Oscar) throughout the entire thing.
Melancholia is another great puzzler. I had to do research to understand both Melancholia (significance of the star) and A Field In England (Celtic Magic, in particular Operative Fasting)