Perfect Blue and the importance of genre
(This entry has spoilers for Perfect Blue that you should avoid if you haven't seen it already.)
Perfect Blue presents itself as a psychological thriller. That's what the advertising copy will tell you, that's what Wikipedia will tell you, that's how people tend to describe it, and that's the face that the film first puts forward when you see it, especially at the start. As a psychological thriller the film is powerful, affecting, and genuinely suspenseful and mysterious; almost right up until the end you're not sure what's going on and so on.
(The reveals themselves are powerful and clever and beautiful. Really, Perfect Blue is a great film. It's not too late to stop reading and see it yourself.)
This is how I saw Perfect Blue when I saw it and probably how most people see it. But in thinking about it shortly afterwards I realized that this is not the only way to see Perfect Blue, because it's also a murder mystery. And if it's watched as a murder mystery Perfect Blue is a quite different experience, one that's a lot less mysterious and in fact somewhat obvious. There are two reasons for this.
To start with, if you're told that Perfect Blue is a murder mystery you're going to put less weight on a bunch of the odd stuff that happens because you know it's just there to throw you off the scent and the real explanation is, say, someone hallucinating. You know it can't be real because the rules of the genre say that it isn't. Second, it's actually not that difficult to work out who the guilty party is fairly early on and figure out a fair amount of what's really going on. This isn't so much because the film directly scatters in-world clues around (although I think it does some of that) but because as a murder mystery Perfect Blue follows the rules of the genre and there are a number of spots where these genre rules draw your attention to something important and get you to interpret it in a particular way.
In general, if someone tells you that Perfect Blue is a murder mystery and you watch it that way you're probably going to be less affected by the psychological thriller aspects of it. Rather than being the core of the film they are more of an (interesting) distraction from the mystery that you already know is there. As you follow Mima's increasingly disturbing life there's likely to be a little voice in your head that's looking for whodunit and what they're doing and so on, a voice that's simply not there if you watch Perfect Blue as the psychological thriller that its publicity pushes you towards.
I'm not certain I've seen anything besides Perfect Blue where the genre I thought the work was in was so important; if someone had told me that Perfect Blue was a murder mystery I would have watched it in a quite different way and seen different things when I did so. But just the thought that perceived genre can significantly alter my perceptions of a work has stayed with me ever since, and sometimes I look at other works and wonder.
(Godannar is the closest I've come to this feeling. If I knew for sure that Godannar had been intended as straight up serious, I think my opinion of it would drop for reasons beyond this aside.)
Sidebar: Why I think Perfect Blue follows the genre rules
To put it simply, the genre rules exist in part to make the mystery comprehensible. We want things to have explanations so we want to be able to look backwards and see what actually happened and why (and to feel that the whole thing makes sense). That look backwards requires the basics of motives and opportunity and so on to be present from the start.
Sidebar: Genre rules and one bit in Perfect Blue
I mentioned above that mystery genre rules point some things out to you. For instance, in a murder mystery you pretty much don't have people who are simply upset at some early development. For good story reasons, their emotions are going to figure into the mystery later; either they'll show up as explicit red herrings to draw out the investigation or they've just acquired a motive to do something. The more that the work doesn't use them as a red herring, the more you suspect them.
The culprit in Perfect Blue basically jumps up and down at one point to show that they have a motive. Watching the movie as a psychological thriller I didn't think anything of it because it felt like a natural character reaction; thinking back through the lens of the mystery genre that moment stood out like a sore thumb and made the character suspect number one, especially since the movie didn't really give us any others.
(When you watch Perfect Blue as a psychological thriller you don't think about 'who did it' at all and so you don't think about things like the paucity of suspects, because the film doesn't need suspects. Mima is having some sort of increasing breakdown and that's sufficient explanation by itself, right up until the film reaches its climax.)