"2001: A Space Odyssey" was very confusing to me the first time I saw it.
(at least the last third was) Of course its now a favorite.
Annoying? "Little Man", and "White Chicks". (in fact, most Wayans brother movies!)
Bad sequels are also annoying.
Disturbing? "Crash" from 1996. The only movie I've ever walked out on.