The setting, the music, the acting, the direction, the simple-on-the-surface yet very complex story (there's some excellent articles online breaking the whole thing down and the level of detail is fantastic) the whole mood of the piece and the fact that it works on so many different levels (metaphysical / social for example) and it's ability to switch between genres without being jarring.
He (Richard Kelly) did the old 'catching lightning in a bottle' and as he's shown since, he'll never write or direct anything like it again.
It's unique, fascinating, and I love every single frame of it.
Just avoid the Directors Cut, and the less said about the 'sequel' the better