The story lacked realism.
This movie is more than a little sick, but is vastly entertaining and held my attention from start to end. Julia Ormond and Bill Pullman pull out all the stops in their respective performances. The use of sound and image propels the pace of the film that seems to take more twists and turns than one can imagine. Interestingly and off-beat original, the movie packs a wallop. It is impossible to deny the craft and talent behind this mind twist of a movie.
But, be warned -- take this ride at your own risk. Extra bonus points for exceptional use of "Add It Up" by The Violent Femmes. Sick, wrong and fun to watch.
EDIT. Second time around I enjoyed this film even more, and found the twist works better in hindsight - there are actually lots of clues at the beginning. It's not any less ridiculous - just because there is foreshadowing doesn't mean it necessary works - but it I found that I was able to watch the whole film without feeling like Jennifer Lynch was trying too hard.