For those who after watching it couldn't figure it out:
I am still struggling a bit with understanding what's going on, so as to become clear about what we actually see in the movie I will write it down for you and for me:
(Spoilers galore)
So here are the facts (the stuff i am pretty sure I got right)
The movie scenes give the most important clues about what's going on - it's our only window to reality, therefore I have been able to deduce the following:
1. Our heroines (protagonist) name is Yoko Takakura - it's NOT Mima Kirigoe nor is it Rumi Hidaka
2. Most of what we see in the movie are Yoko Takakura's delusions. With the movie scenes being pretty much the only exceptions.
As is hinted at in the movie scenes, Yoko Takakura was raped in a strip club.
Afterwards she went crazy and in a string of events killed several people probably including the people who raped her as well as probably her sister who is a top model.
She couldn't deal with all those traumatic experiences so she developed multiple personality disorder, convincing herself that she herself is her sister the top model.
In reality however she is fat and lives in an psychiatric hospital. She seems to be afraid of some security guards since they probably had to forcibly restrain her. So in her delusions the murders that she committed where committed by one of the security guards who in her delusion is a crazed stalker of her top model persona. In her delusion, her real life including her rape as well as her talks with her doctor in the psychiatric hospital are merely a movie role she is playing - thus she can escape her sad reality and her guilty conscience.
She actually has several layers of "protection" (from her traumatic past). Meaning she has multiple personalities. Mima Kirigoe is one of them and another one of her personalities is Rumi Hidaka (both of whom are based on real people she knows). Her original personality of Yoko Takakura no longer exists in her head.
So when someone where to confront her with her being fat and ugly or her having been raped, she can "protect" herself from that sad reality by claiming that she is the beautiful top model Mima Kirigoe and that her being raped was merely a movie. If that someone where then to further confront her saying that all of this was a delusion of her and she is not the real Mima Kirigoe, she would claim that her imaginary stalker invented a fake Mima while she is the real one, or she could even switch identities completely and become her third personality Rumi Hidaka, like she does at the end when she is asked who she is and she claims to be Rumi Hidaka.
Rumi Hidaka is obviously partly inspired by herself, as she has her appearance (fat and ugly) and in her fantasy Rumi Hidaka takes on the personality of Mima (like she originally did in her fantasy). However by doing so, she actually buries her true real self even further until Yoko Takakura is completely gone.
So that much is clear.
The only thing I am not clear about, is who is the REAL Mima Kirigoe?
Is Mima Kirigoe her sister? That would make sense.
But she killed her sister in order to take over her identity. So that can't be because then who is the Mima Kirigoe at the very end visiting the hospital?
Or maybe what we see at the end is not the reality (which would make sense, since so far everything we saw in Perfect Blue was Yoko Takakura's delusion).
But I don't think so, because she is addressing the audience directly assuring us "I am real". Also she appears very confident when she says that and also tells the nurse that without Yoko she wouldn't be who she is today.
In an Interview (http://www.youtube.com/watch?v=dsVqAq-guhc) the director says that the message of the film is that after going through what is real and what is not one feels confused and like one is losing it. But that after going back and forth between what's real and what's not one eventually finds ones own identity through ones own powers and find the place one truly belongs and that no one can help you do this but you yourself.
So I guess that's what the end scene is about.
Everyone experiences tough times in life. And there are two ways to deal with the insanities of life. One is by avoiding the painful realities of life. The other is by facing them, learning from them, becoming confident through them.
So maybe in that sense Yoko and the 'real' and confident Mima at the end are really the same person having had the same experiences and the same past. The only difference is that Mima learns from bad experiences and becomes more confident when faced with more adversity, where as Yoko wants to bury her past and becomes less confident when faced with adversity.
And I think that's what the movie is really about.