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I wonder if all movie stars feel as though they're two people. I'm not talking about their work, where they slip into and out of other identities. I'm talking about their lives. There's the public persona, a creation who's adored and commodified, who has fantasies and mythologies and assumptions attached to it. And then there's the private person, the son or wife or father or friend one sees when the klieg lights are off.

Diane Keaton once told me that her late mother had kept a scrapbook of all her magazine interviews, and Keaton found that odd. "You know me," she said to her mother. "You know that the person in those articles is not me."

Jake Gyllenhaal talked a lot about the question of identity when I interviewed him in Toronto recently. His new film Enemy, which opens March 14, delves deeply into the idea. Based on a novel by Jose Saramago, it was directed by Canada's Denis Villeneuve, with whom Gyllenhaal also made Prisoners. Enemy's story twists as if it were a pretzel – trying to figure it out will turn your mind into one, too. Let's just say this: Gyllenhaal is credited with playing two characters; they look identical; they may be a teacher and an actor; and they may or may not be aware of one another. The movie is about a lot of things – how desire is wound up with fear, how choosing one path means saying no to multiple others – but fundamentally, it's about how slippery a concept identity is, how difficult it can be to figure out who you are and aren't, what you want and don't want.

Gyllenhaal thinks all of us, not just movie stars, embody multiple identities. "So often when you've done something, you say, 'I don't know what I was doing,' or, 'I don't know who I was then,'" he says. "Even when you go to a cocktail party, go to work, or are at home with your family, you're three different people, or maybe three pieces of a person. That, to me, is what this film is about. Reconciling those ideas, or wondering if they're meant to be reconciled. Just questioning them, talking about them."

I can see why Villeneuve, who also made Incendies and Polytechnique, cast Gyllenhaal as his vehicle for those questions. The actor, who's 33, is masculine but not macho; he's present but private. His energy is not passive, but he's soft-spoken, and sits back on the beat. He's handsome as hell, with those big, calm-sea blue eyes, but he tempers his prettiness with a furrow in his brow. Rarely has a star looked so comfortable playing ambivalence, and so uncomfortable playing certainty. That may be why he's had less success with romantic comedy (Love and Other Drugs) and action-adventure (Prince of Persia: The Sands of Time), and more success with characters who are fraught: a cowboy unhappily in love in Brokeback Mountain, an editorial cartoonist obsessed with a serial killer in Zodiac, an explosive soldier in Jarhead, and a pair of tortured cops in End of Watch and Prisoners.

Villeneuve assured Gyllenhaal that he'd let him go anywhere he wanted with Enemy's dual characters – no corner too dark, no alley too blind. Gyllenhaal was skeptical at first. "But Denis reiterated that over and over," he says. "And when we started working, it really started happening." The pair found they shared a sensibility, a set of instincts and a sense of humour. (Interestingly, they also look a bit alike.)

"We got pretty pretentious in some moments, particularly when we were really trying to think about these ideas," Gyllenhaal says, but they were also able to laugh at themselves.

I ask Gyllenhaal if he said yes to this script because he'd been asking its questions in his own life. "Maybe," he replies. "I feel the target does draw forth the arrow, in a way. And the idea of identity fascinates me. The concepts of what it is to be a man, the idea of commitment, intensity – I had been rummaging through those in my head. Then this came, and I listened."

Gyllenhaal doesn't agree that his private and public selves are separate, though; he's striving for synthesis. "Lately – maybe it started when I met Denis – I'm becoming more interested in just being the person I am," he says. "I don't have a desire to be anything but myself, with all the oddities that entails, with my many faults." (I ask which faults. "Nothing specific," he answers, a bit warily.)

"But I hear what you're asking," he continues. "How often have I met a comedian who isn't funny off stage? Or walked away from a conversation and thought, 'Why did I say that?' Or, 'Why couldn't I just say this?' It's like, who was that person? Is the person who said the honest thing, or the dishonest thing, you, or not you? Do you accept that part of you?"

The murky tone of Enemy isn't new to Gyllenhaal. He's been drawn to that kind of thing since 2001's Donnie Darko and a 2002 turn on the London stage in Kenneth Lonergan's play This is Our Youth. "Probably because I find some sort of honesty in the darker things," he says. "I'm looking for things in which I can be honest, as honest as I can be."

His preparation process is pretty deep, too. Once he has signed onto something, he spends a lot of time "trying to get in and around everything to do with what I'm playing," he says. "I have started to believe, in the three months of shooting a movie, all of your experiences in that three months will be in the character that you're playing. Be it research, times you're having in your own life, whatever. I just start listening carefully to what I'm feeling in certain moments."

As we spoke, he was about to go to Italy to shoot Everest, Baltasar Kormakur's film about the mountain climbing tragedy chronicled in Jon Krakauer's book Into Thin Air. Gyllenhaal plays Scott Fischer, a guide who died on the expedition. "As I accumulate experiences, and read about the guy I'm playing, I ask myself the question of who he was internally, what do I share with him and what do I not, and how do I figure out what his essence is," he says. "I've never played someone who's not alive any more, who's real."

He recently met with Fischer's kids, and he knew immediately he'd somehow incorporate that experience into his character. "And so, as my days go on, I'm gathering," he says. "Then, when I'm shooting, I kind of go under water. I hope that I've taken with me what I need to survive in that artist experience."

I point out that a number of his characters are not just seeking some sort of truth, but demanding it. "I'm seeing that's what I'm doing, too," Gyllenhaal admits. "I'm a searcher." Not multiple people, necessarily. Just one evolving one.

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