I think it leaves you with so many questions because Richard Kelly, the director, wasn't able to put a clear vision on the screen.
By the way, in the DVD commentary Kelly says that he meant for Donnie Darko to be a kind of superhero. Jake Gyllenhaal mentions that you could interpret a large part of the movie as being in Donnie's head, but Kelly makes a point at saying that he didn't mean for any of it to be imagined.
I liked the movie, but Kelly really didn't get the vision he wanted across to the audience. That's why there's so many interpretations because the movie's kind of a mess. Still, it's entertaining.
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