Human kind has always wanted to make sense of the world around us. When the ancient Egyptians saw the sun move through the sky, they understood it to be their god "Ra" travelling across the sky with the sun on his head. Thousands of years later, the Greeks, and later Copernicus, made sense of it by proposing that the Earth revolves around the sun. Of course, these two theories are very different from each other, with the latter justified by a lot more evidence than the former. But they both try to explain.
Similarly, physicists and philosophers of physics are trying to explain quantum mechanics, but it is proving impossible to do so conclusively. According to the most widely accepted theory, a particle is in infinitely many places at once only until the moment it is observed or measured. At this point, it instantaneously and unpredictably takes up one position. A less conventional but increasingly popular theory proposes that when the particle is measured, our universe actually branches off into infinitely many others universes, with the particle assuming a different position in each of the universes. Thus, we only ever measure the particle to be in one place.
Neither of these theories seem very intuitive; rather, they both seem utterly fantastical. But when Copernicus proposed that the Earth revolved around the sun, that didn't seem very intuitive to his contemporaries either. What I think is really exciting is that something has to be right, and whatever it is, I feel quite sure, is going to be weird.