True Art Is Incomprehensible: Even after you get all three endings, you'll have a hard time figuring the story. The two most common interpretations are: Anna is the villain who seduced the protagonist into killing his family, and has probably done so to lots of other men in the past; or the protagonist is the villain who became possessive of Anna and killed children to prevent her from leaving.
Unintentionally Unsympathetic: Although the viewer feels for Anna most of the time, the sheer callousness with which she treats Maude seriously detracts from her likeability. Maude fell for Anna the moment she first laid eyes on her, and they spent well over a year in a relationship that Maude obviously considered very serious, but to Anna she was never more than a tool, and she simply disappears from the story before the big showdown in the finale.
What an Idiot!: Anna, for falling for the "the gun you've been provided isn't loaded" trick not once but twice. You'd think that after the first time she'd have learned to check her equipment before going in.