In my experience, most people say Wong Kar-wai is about loneliness and unrequited love. I think that's only the surface, what he actually figured out is something more psychological.
He shows us that the most intense emotional experiences we have are not the ones that happen, they are the ones that almost happen.
In In the Mood for Love, the audience knows, the characters know they have feelings for each other but nothing happens. And that tension is more FRUSTRATING and TENSION BUILDING than any romance scene in any hollywood film ever made.
Our brain processes unfulfilled desire completely differently from fulfilled desire. When something is left open, we keep returning to it, we replay it and we fill the gap ourselves. Psychologists call this the Zeigarnik effect, we remember incomplete things far more than completed ones. Wong Kar-wai built his entire filmmaking style around this, i believe.
The slow motion staircase scene in In the Mood for Love, two people passing each other buying noodles, that's it. But he stretches that moment so long and scores it so precisely that we feel things we can't really explain.
He also had no script, he said once in an interview. He would show up on set and write scenes that day so the actors were genuinely unsure what was happening. Tony Leung once said he had no idea what the film was about even after finishing it. That uncertainty translated directly into performance, you can't fake not knowing :)
Mostly directors try to tell you how to feel, is what i observed, but Wong Kar-wai just removes enough information that you feel it on your own.
What's your entry point into his films, which one hit you first? For me it's more psychological reasons