Lost Highway

Well that was confusing... This film was so eerie and anxiety-inducing. And you basically have no idea where the story is going until the very end, and even then, it's still not fully clear what happened. From what I understand, he was essentially in a fugue state, did these murders, and then went to prison. And during this, he assumed numerous identities and attributed them to himself and others (though it seems that they were figments of his imagination in many parts). I think the parts where he is talking to his "parents" were meant to represent him after these incidents, in prison, confused about what happened that night, which he kept repeating, asking what happened to them in numerous scenes early on, before anything happened. As well as the scenes in the prison where he repeatedly says, Please tell me I didn't kill her. I think that is in part why this movie was confusing: the way it is told is not only non-chronological, but also missing scenes. The parts placed early, without context, are meant to make it seem as if he was framed, though only at the end does it become clear this is not the case.