This game's lack of obvious direction annoyed me at first. However, La-Mulana was like that, and I love THAT game, so I kept at Yume Nikki a bit more. After exploring around and discovering all these cool places, I realized I am starting to enjoy it.
This game has so much weird charm to it. It creeps me out continuously (NOT DOOR #1 PLEASE NO), but I like that. There's also very beautiful places (and music) in the game, such as one spot on a rooftop.
As I play, I'm drawing maps of the areas I visit. Dunno what I'm going to do about the red maze though. That place is frickin' huge.