You have to be depressed to like it
I watched this when it came out almost 10 years ago, and at the time I found it mesmerizing. I was also fairly depressed at the time.
I just attempted to re-watch it, now being somewhat happy and well adjusted, and I couldn't stand it. I found it to be pedantic and boring. I actually found myself despising the film, and everyone in it.
Seems like most of the people who like it also admit to being depressed, or least understanding and admiring the depression angle. One person put it best in that the film tries to make the viewer understand what it feels like to be depressed. People who are already depressed, can therefore relate much easier.