It's anything but a horror-movie, I'm not sure what you should call it, 'drama' doesn't really fit either. Here's a list of stuff people tag it with :)
Basically it combines sexually explicit scenes (although there are two versions of the film in theaters, one is slightly toned down I believe) you'd see in a bad porn flick, the depressing/uncomfortable atmosphere of something like Requiem for a Dream. It's slower than There Will be Blood, and there's bucketloads of symbolism (most of which was lost on me, until I checked some review this morning) like in the Fountain. It's an exhausting film to watch. I'm still not sure whether or not I really like it. The cinematography and acting is brilliant, but it's a weird and draining thing to watch. It certainly is an experience.
Here's the first scene of the film, not safe for work, but I hope nobody's working on Saturday.