I loved Big Lebowski, Fargo, and No Country for Old Men. Burn After Reading would have been much easier to stomache if they had named it as ivseenbetter suggested.
Don't get me wrong, the movie had it's moments of pure hilarity. Overall I found it to be lacking in "structure" and the plot was chaotic (which I am sure it was meant to be). There are films that are messy, plot-wise, with a purpose that I comfortably watch and enjoy. At the end of this movie I felt like I missed something.
Perhaps it's too much like life as we live it and that's what I found so un-enjoyable about it. Many character's lives where ultimately ruined and vanity triumphed.