General Confusion:
* Confused
* Bewildered
* Puzzled
* Mystified
* Nonplussed
* Discombobulated
More Specific to Thought:
* Baffled
* Perplexed (yes, it's its own synonym!)
* Intrigued (if there's a sense of interest)
* Puzzled (implies a need for explanation)
* Disconcerted (implies a feeling of unease)
More Specific to Emotion:
* Frustrated (implies a sense of being blocked)
* Anxious (implies worry or unease)
* Worried (implies concern)
* Dismayed (implies disappointment or sadness)
The best synonym will depend on the specific context and the emotion you want to convey.