Have you ever noticed that the most popular movies or TV shows are the ones which have excessively mysterious plots? For instance, some TV shows like LOST, FRINGE, etc (Yes, I am a J.J. Abrams fan) and of course, Inception and also a lesser known film Cloverfield(See? I am a fan).
Well, my guess would be that the inadequate information provided by the plot allows and encourages us to fill in the blanks with our own imagination. This makes the plot a little different in each person's head which acts as a source of interest and also makes it potentially limitless(In terms of how the plot can unfold). The only bounds of the story would be the extent of imagination of an individual.
The beauty of it all is that you keep thinking about the same story for weeks in a row trying to make a suitable assumption so as to match the rest of the plot. So, not only does this strategy make the feature extremely interesting and entertaining to watch, it also keeps us hooked on the same for a long time after.
I don't know about you, but I live to watch such movies.