I've never been too shocked by Quantum Mechanics, which in view of that quote by the great Bohr has also had me worried why I don't!
The way I've always thought of it, and I don't know how true this is or not, is that the particle-like nature of an electron was only ever an approximation. A thumping good one, that works very well in most cases, but an approximation nonetheless. But when you start probing the electron at scales comparable to its "de Broglie wavelength (which is Planck's constant divided by the momentum)", you have to stop using the particle approximation and start inputting the wave-like behaviour. Hence all the weird double-slit effects.
One problem with this approach is that it's probably a bit too mathematical. But then, hey, every theory of physics, which is ultimately expressed using maths, has some crazy stuff coming out of it if you start trying to turn that maths into Physics. The problem simply is that words are totally inadequate to describe what is going on at a quantum level. So while I wouldn't say "Don't try", certainly you have to be aware of the limits of words to describe this.
Anyway, rather than assume that the electron is a particle with wavelike properties or a wave with particle-like properties and somehow jumping between the two, it might be easier to think of it as always a wave, but that in some cases the wave-like behaviour is ignorable. Rather like how you can treat an atom as just a single entity, but as you probe deeper you have to take the nucleus and electrons separately -- and then of course deeper still the nucleus splits into protons and neutrons, which in turn are made of quarks and gluons, and in turn maybe these are made from strings... but all of this fine structure can just be ignored when you perform experiments that just aren't sensitive to that for whatever reason.
Anyway, that's the jim360 interpretation. It might be complete bilge, I hope it isn't. Might not even be original but it is at least independently thought of (I think!). And it has the advantage of avoiding some of that particle -> wave jump and back. It never stopped being a wave. You just stopped caring.