A recurring theme in Burn After Reading is that, by and large, nobody truly has a fucking clue what's actually going on. In a way, this made Burn After Reading a film I could relate to - I also, by and large, had no fucking clue what was going on.
Actually, that's not really fair. I was able to follow along perfectly fine, but the bigger issue is that I didn't really have any good idea of why I should be following along, or if there was a point. Imagine my surprise when the answer is revealed at the end - there isn't a point! It's all just a highly minor series of events that, thanks to the actions of a highly idiotic group of characters, are blown way the hell out of proportion.
What saves you from feeling ripped off after seeing Burn After Reading is that the characters are really acted terribly well. George Clooney, Frances McDormand and Brad Pitt in particular all play their lovable morons to perfection, and carry the entire movie. As a result, you'll stay interested in everything from start to finish; it's not until the end that a true "what the fuck?" moment will really set in, and not in a positive fashion.
I give kudos to the Coen Brothers for attempting to make a film that is, essentially, without a point. It's a bold move, but I'm not sure how successful it truly is, and were it not for some of the well written and acted characters, the film may fall completely flat on its face.