I think this film is either Japanese or Korean. I watched it in 2011 with my roommate who had received it on DVD from Netflix. The sets in this movie were very, very brightly colored–the main character’s house was painted in neons and pastels.
Each night before the man would go to bed, this woman would attack him in a variety of ways, so he would have to battle her each night before he could go to sleep. One night he finally defeats her, but in the nights that follow he misses her.