Well, it's not a horror movie, although there is some blood. I don't think it's particularly gory, but there is definitely violence.
To me, it's "creepy" because it portrays a dark side of human nature. And Jake Gyllenhaal is so good at playing someone who lacks empathy and is all about advancing his own agenda. His face... he maintains this wide-eyed, non-blinking look throughout the movie. His handsome features completely disappear, even without special effects or makeup.
The movie is tense. It's tightly edited and gripping from beginning to end. I highly recommend it, but it's not a "fun" movie! It's something that makes you think. When certain things happen in the media, I often think back to this movie.