I can't remember plot exactly, but it's got a real mind-fuck vibe to it and the protagonist has a hell of a time (LOL!!) trying to figure shit out. I remember a scene where he his mother was behind a locked door being tortured. Pretty messed up stuff.
Edit: A couple bits of trivia from wiki:
The film is unique amongst Hellraiser films in terms of underplaying the traditionally high gore factor. Many scenes are pull away shots where the moment of violence is only suggested, not shown. In fact, the murder of the main character's mother is not shown at all, and merely suggested by horrible screams that gurgle as something awful is done (whose details are left to the viewer's imagination) and a huge amount of blood flowing under a locked door.
The movie's plot line parallels that of Jacob's Ladder.
Apparently, it's the only one in the series classified as "psychological thriller," which is nice, 'cause everything else after Hellbound was shitty horror