Yes, it will make you think a lot. It will make you think about America. It will make you think about the western ideals superpower nations flood the world with. It will make you think about racism, bigotry, western feminism, anti-semitism,poverty in third world countries, sexism and all the wrong things about this world.
It's a very reflective movie with tons of irony. Borat himself is an irony because Sacha Baron Cohen, a British actor and a Jew plays him.
Borat challenges the viewer to rethink their perceptions about certain things. We may say and think that we are cultured individuals because we have been educated on western education but perhaps we may act otherwise in front of a "backward" man like Borat.