The enjoyment of figuring out what's going on in something like Mulholland Drive is rather similar to the enjoyment of debugging a complex bug. There's a frustration about it not immediately making sense, but there's also a pleasure to working it out.

Primer on the other hand, I think all you can really do is accept that there are big unexplained gaps in the story, and no amount of debugging is going to help. I personally take that as a fun hint of a larger story you're not seeing.

Never seen The Big Sleep so not sure which it's more like.