Ergo Proxy is a very confusing series, and you have a lot questions even after completing the series. But I think that's part of the magic of it.
First off, I will admit the storyline is all over the place, but sort of well-structured at the same time. The first episode makes the series seem like it will be come kind of murder mystery (that's what it felt like to me anyway, knowing very little about it beforehand), but you soon learn that nothing happens like you'd expect. Through Re-L (Real? Lil? How to spell her name remains one of the show's many mysteries...), Vincent and Pino's travels they have a lot of bizarre and complex encounters that don't always make sense. It turns out it is mysterious beings called Proxies they are encountering, trying to stop them from discovering Vincent's forgotten past. Or is it?Meanwhile the domed city of Romdeau, where these three have fled, go through troubles of its own trying to keep the sanity after violent incidents also involving Proxies. These troubles are often reflected by the encounters with the trio.While this is a very interesting concept, it isn't always executed well and sometimes goes beyond fascinating to just plain confusing (the game show episode, anyone?)
This anime, despite the several flaws in the storyline, is extremely well made. The mix of 2D and 3D animation is superb, and the designs of the characters are fantastic. Many of the scenes are covered with a hazy mist, which sets the very dark and gloomy mood of the series effectively.
The main three characters are fascinating and relatively well-developed. But I found the characters back in Romdeau somewhat boring and in the earlier episodes I had trouble paying attention to the scenes with Raul and Daedalus (probably my least favourite anime character) because, honestly, I didn't know them or what the hell they were talking about most of the time.
Ergo Proxy is quite a flawed series, but it is undoubtedly entertaining, interesting and fun to work out. So watch it by yourself in a dark room and let it absorb you.