Everyone's already said this, but yes you need to pay close attention, and hell no you're not necessarily going to get it the first time (if there is something to "get", Nolan may well have just let you decide) even if I gave spoilers, which I won't. I'll only touch on plot in this way: the reason it's hard to follow is because much of the movie involves dreams within dreams, and I've heard convincing arguments the entire film is a dream. It's a lot like the ending of that season of Dallas, only a million times over.
Without spoiling anything, all I can say is that the movie revolves around "inception", which is the act of planting a thought in someone's head. The main characters are masters at extracting, which is stealing a thought from someone's head. Inception is harder because you have to convince the person who's dreams you're entering they have a thought, rather than taking an already existing one.
The characters themselves are all exceptionally acted, though only DiCaprio has much backstory. He is the mastermind behind the operation, doing this mostly because it ties into getting him home to his kids, while the others are just the heist team with quirky characteristics that set them apart, but nothing emotionally substantial is revealed about their motivation. Several of them have meaningful names that reference Greek mythology and language, so look for that if you're in a geeky mood. And of course, we get great cameos from Michael Cane, essentially reprising his father figure role from Batman, and Cilian Murphy as the not-so-antagonist who's being incepted.
There's a lot more to say, but it's just too difficult not to spoil, so instead we'll talk about visuals. The movie has a very similar look and feel to The Dark Knight, only more epic. The chase scenes in the rain are gorgeous, the avalanche covered mountain is brillaint, and the fight scene involving a room rotating is awesome. There are also several Citizen Kane-esque shots of people appearing several times over in series of mirrors, possibly referencing the depths of multiple dream worlds they're in.
My only gripes are that, while planning the inception, they need to reference time in different dream states i.e. an hour in reality may be weeks where they are, but having multiple dream states on top of reality makes this confusing. And there's a particular part where one guy takes way too much time considering how much they've estimated he's got, only I think I was just using the wrong reference point for which time frame they were referring to... yeah.
Confusion is the only flaw I found in this movie, and it's also its greatest strength. You'll have to see this more than once, and even then you might just have to use your imagination or choose the ending that suits you best. The great acting, magnificent visuals, and extremely engrossing story make doing this immensely satisfying and will surely spark thousands of discussions.
SPOILER ALERT: This is very interesting:
Edit/Spoiler Alert 2: Just in Case you're wondering, my interpretation was that Mal made the dream for him, because the totem DiCaprio finds is hers and not his. The wobble I think could mean he's starting to realize he's not real?