Identity is not a horror flick. This is a mix of several genres, from thriller, to mystery, a who'dunnit with gore. But still a very surprising movie. Normally I don't respond well to movies who lie to the audience, who show a whole story and suddenly, in the end, without warning just say "oh well, after all it was nothing like that at all, the guy was just asleep!". Hitchcock once said you should never lie to an audience, you should never show something that isn't true. It's one thing to tell a lie in a movie, the other is to show it to the audience as if it was the real thing. It's the easiest trick in the book, of course you'll be surprised, anybody will. To understand it better see the difference between "The Usual Suspects" and "Seven". The first shows a story that wasn't there and in the end pulls a rabbit out of the hat(easy!). The other builds up to an explosive and unexpected finale without any cheap shots, it just carries you through. With Identity the movie suddenly pulls a fast one on you and leaves you wondering... But Mangold doesn't gives the twist at the very end, and keeps a tense film until the last frame. It's a worth see, inventive film and with a great cast to back it up.
