These discussions have piqued my interest about "Dogville".
I know what you describe. Been there myself not too long ago
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It's not as if my taste got "cured" in a day - it took me a long while, step by step to develop a taste for such movies.
I cannot comment on "Dogville", but in general, some movies demand an open mind. Instead of trying to figure out the movie, just let go - follow what's on screen and when it's all over, you would be able to have a wholesome picture. Sometimes, you may need to revisit the movie with that general understanding to pick out nuances. The first few movies are difficult as you have to be in "mood". Once you get used to it, like everything else, mind gets trained and it'd be a cakewalk from thereon.