The film has a story, it has cinematography, it has great, smart dialogue, it has style and panache and it has humour that is both intelligent and shows that Fellini doesn't take himself all that seriously since Guido Anselmi is simply Fellini himself. The key here is that Fellini always directed movies with the sense that they were movies: they were never too snobby nor did they try to shut out the larger audience even though they movies weren't dumb. Fellini perfected the art of the absurd as well as that of fantasy and spectacle and they all come together perfectly here in 8 1/2.
The movie doesn't come across as preachy which is a testament to Fellini's rejection of allying with any sort of fashionable politics even though he would tackle such difficult subjects as sexuality, liberty, and church politics. As you've mentioned, the film is so multi-layered that I continually find new things to admire and understand upon repeated watching.