When you're baffled, you're confused or perplexed. Being baffled is being befuddled, bewildered, confounded, or mixed-up.
If you're baffled, you can't understand something. Some people are baffled by math; others are baffled by things celebrities do. Some are baffled at why anyone would care what celebrities do. Sometimes when you're baffled, you genuinely can't figure something out, and other times, you just disapprove. For example, a teacher could say, "I'm baffled that you missed the test!" As long as the world is full of odd things, we'll all spend part of our lives baffled.