Hellboy is a fun movie... following right along with X-Men II and Daredevil. Much religious (Catholic) imagery. Ron Pearlman is so at home as H.B. or "Red" as they call him. It's pure comic book from start (when the Nazi's open a portal to the dark side) and President Roosevelt's head advisor (a professor) about the paranormal and US soldiers stop them. Kind of. A Resputin character goes over to the dark side and a little red creature with horns and a tail escapes into the real world - to be raised by the Professor.
Years later (H.B.'s age is computed in cat years and he loves kittens) the Professor recruits a young FBI agent to help them go bump in the night back to the unseen spirits who bump in the first place. Good vs. evil. Typical easy categories that make classic style superhero comic books so popular.
Just sit back and enjoy. The story is almost impossible to follow - but see if you see the glimmer of a sign for a sequel... I think I did...
I am becoming a fan of comic-books made-into-movies.