This is a horror movie

I agree although at the same time I found it very, very funny =P
It's really a kind of macaber, absurdistic morbide-existential humour on which the whole ovie thrives.
Of off reading the other comments here I would guess that we are more sensitive to this sinister premise and ominous occurings and atmosphere of this film...
I, however, do not empathize primarily with Malkovich (I personally could identify the most with Graig) but overall I felt just uneasy, troubled by this idea, this philosophy, about how allot of people almost seem to be destined to treat (use) eachother and their fate of, hinted at by Lotte, lack of self-actualisation and their, most oftenly unintended, denial of such from eachother. I was shocked to see how this works out for the main characters when the circumstances are magnified by the factor of having a literall, fysical escapé.
I was also appalled by the character of Maxine and her hedonistic-opportunistic, subtly egomaniacal outlook on life. Essentially she was just a relentless egoïst with a dangerously appealing self-assured, manipulative controll over the powers of her own beauty. Really scary, especially when set in the contemporary environment of profit companies.

Creepy and kinda disturbing but most of all very bleak, when you think about the fate of Craig and John Malcovich. I always felt a bit depressed and disturbed after watching it.

i totally agree. i feel the most sad for john. craig not really because although he didnt get maxine (who is the worst character to me) he's still close to her in a sick way. but while this movie is amazing in entirety, you cant help but feel bad for john who is helpless throughout the whole thing. and then the end is just like, *beep* him"

The reveal and implications are truly horrific, but the movie is made as a comedy.

I imagine the same could be said of many comedies if we analysed them. Indeed comedy may be a way of coping with the horror in everyone's life.