Yume Nikki is not a fun game. In fact, I've heard of Yume Nikki referred to more as an experience than a game, and I definitely agree with this. When we talk about art, we tend to refer to things as "experiences." This is primarily because most media that takes itself seriously aims to give use an exercise in empathy—that is, a window into another person or non-persons perspective. When we peek through this window, we feel as they feel, we see as they see, and for a fleeting moment, we're in their world.
That's what Yume Nikki is. It's not so much a story as it is a snapshot of a story. We don't experience the whirlwind of Madotsuki's emotions in a linear fashion, but rather in a loud orchestra of events. Her sorrow, confusion, depression, and growing anger at a warped world is not conveyed through prose and direct storytelling, but rather through vivid imagery and symbolism. Not a word is spoken, yet we understand who she is and how she views society, herself, and her peers. The depth of her character is unrivaled, and the environment of her dreamworld is fascinating and immersive. We find a knife in a strange, dark world. Beneath the facade of a cutesy blonde girl hides a terrible demon. A lonely guitar plays in an abandoned, run-down desert village. These short vignettes speak a language of emotion, strange and sometimes frightening, but all the more poignant, and ultimately culminate in one of the most shocking and emotional endings I've seen in a game, but perhaps the only appropriate ending the story could have.
No, it's definitely not a fun game per se; save for the enjoyment of exploration and the thrill of discovery, it lacks the excitement characteristic of more popular games. However, it's a great story that reveals itself through analysis, discussion, and contemplation, much like a good painting, and definitely art in video games at its finest. Overall, it's a game that you should definitely experience, and one that you certainly won't forget.