Awesome Music: Carter Burwell's haunting, minimalist score, which manages to get incredible milage out of a six-chord Leitmotif.
Bizarro Movie: Next time somebody tells you there are no original ideas for movies anymore, show 'em this.
Crosses the Line Twice: One actor playing a fan was told to work in the word "retard" as much as possible in his brief scene with Malkovich. Which he did.
Darkness-Induced Audience Apathy: The movie itself suffers from this, due to the characters having selfish desires for their wants; barring the eponymous John Malkovich himself, who just wants this madness to end and for everyone to get out of his head.
Throughout the film, lots of characters praise John for being in a "jewel thief movie", which he flatly denies, and this was true at the time. Later, he was in Johnny English, where he played the Big Bad who has the British Crown Jewels stolen as part of his plot to take over the UK.
Charlie Sheen is the friend Malkovich talks to when he feels like he's going crazy, and needs a sane man to bounce ideas off of. Yup. (This was long before his 2011 breakdown.)