I haven't delved too deep into the weirdness of anime, but probably the most confused I ever felt watching an anime was the ending of Neon Genesis Evangelion. I originally watched the series when I was in high school and couldn't really follow what was happening in the final couple episodes. I distinctly remember thinking to myself that there is probably some deeper meaning here that I am just too dumb to understand...
...and I still think that. I am sure if I really wanted to read explainer articles or watch more of the many Eva-adjacent things it would make more sense, but I am happy to just not fully understand it. I am content with appreciating it as an influential piece of art within the genre and move on.