And I'm a bit conflicted. I liked it quite a lot, but I can understand how it got mixed reviews (and the critics who hated it really hated it).
First off, this is directed by William Friedkin of "The Exorcist". This guy takes his own sweet, methodical time telling a story. I can dig that, but a lot of people expect more than a lot of talking from a horror movie. In particular, they can't deal with a horror movie that has no monster.
For me, the key to this movie is you see what you want to see (and that's a line right out of the movie). On the surface, it's a simple descent-into-madness story (and one with terrific acting I might add). However, the descent into madness isn't that interesting without a reason behind it. Digging beneath the surface (as the characters do to find the bugs under their skin) to find that reason is what makes this movie alternately fun and frustrating--or even frustratingly fun. Just like the characters, when you dig you find hints, illusions, spectres that might or might exist, but most of all you find whatever you were looking for in the first place. There are many hints of themes that perhaps are there, perhaps go nowhere, and perhaps cancel out with other themes.
Personally, I liked how it was simultaneously about the fear of intimacy and the fear of loneliness, and the tension between the two. That kept me going for most of the movie. Agnes (Ashley Judd) lives alone locked up in a hotel room fearing her recently paroled ex-husband Jerry (Harry Connick, Jr., doing a great job cast against type). She hooks up Peter Evans (Michael Shannon, who played the role on stage), a shy quiet guy who "picks up on things". After they make love, he's convinced that bugs are biting him, and convinces Agnes of the same thing. And so the descent begins.
I also want to briefly mention the political interpretation. It could be read as a metaphor for the Iraq war--the absolute self-destructive search for an unseen/non-existent threat. I mention this for a couple of reasons. First, when I saw the trailers I picked up on that immediately, probably because I have this whole "modern horror is political" theory running. However, when I actually watched the movie I didn't pick up on that interpretation for nearly all of it. But near the end, Agnes has a line where she says, "We're winning the war", which snapped that interpretation into clear, albeit brief, focus. There's still a lot more going on, but I'm convinced if I rewatched it in the right frame of mind, I'd see it all as a political metaphor. I'd read more into the fact that Peter is a soldier, a veteran of the first gulf war who went crazy and then went AWOL. I just didn't pick up on that the first time, I was more interested in the intimacy vs. loneliness angle.
And I'm sure--although I didn't see them--that there are more interpretations. And of course, you can choose not to dig under the surface and just see a straightforward descent into madness with not much more to recommend it than great acting. But for me, the movie dared me to dig beneath the surface, I did, and I'm proud to say that I came out just about as sane as when I came in.