I read a review someone had said about Paprika (been watching it a lot myself), where the guy said that Paprika "isn't a movie that's meant to be understood so much as simply experienced - or maybe dreamed." I couldn't agree with this more.
Also, wanting to add, is Tokyo Godfathers any good? I was at first turned away by the drag queen for some odd reason, but now that I've seen Paprika and Perfect Blue, I don't really see any reason why I shouldn't at least rent it.