I don't think Donnie Darko can be understood from just the movie; it's not self-contained. However, it does a reasonably good job of suggesting that there is a meaning behind it, even if it's ill-determined.
One of the many things I disliked about The Blair Witch Project is that it seemed to put in lots of weird stuff which it never bothered to explain; the film didn't convince me that there was an explanation. It felt like it was added for atmosphere rather than as something a real witch would really do. Like DD, a lot of the back story was relegated to the website.