I'm just really bothered by all the loose ends. I mean, the astronaut in the beginning wrote down Scoggins, who we then realize is Isaac I... think? But then was that moment in space a dream or not? And really, what is the link between spacemen, Isaac and the Hidden People? Was that gnome that was in the window really a gnome brought to life (is that how they are created? If so then why does everyone say they're ancient?) And what about that Gnome black market salesman? Why was he even included in the story?
It's one thing to leave things open ended and mysterious, but it's another to have a bunch of things added to the story that wind up having no relevance whatsoever. I didn't even know it was the end of the game until the game cut to Nelson back in his office.
It's undeniable that Twin Peaks had some kind of impact on this story, and Twin Peaks had a lot of mysteries and an open-endedness to it (despite its complete abrupt ending), but Twin Peaks also never left anything completely open. You can have open endings so long as we have a few paths of logic to follow. "No Country For Old Men" is another great example. The ending is completely open, but there's many logical ways to interpret that ending. Puzzle Agent leaves us with too many loose ends and no clear train of logic to follow.
I like the game, a lot. I think it's right behind 8-bit is enough, Chariot of the Dogs and What's New Beelzebub in how much I like it but... I'm left with so many questions in my head, and the only way to get them out is with a bullet!! >_0