I too was puzzled and troubled !! after initially watching Mulholland Drive. My take on the films 'meaning' in its simplest form seems to be that alluded to by Lynch and Naomi Watts in interviews. That is, the whole first part of the film is essentially a dream sequence of Naomi Watts character, using characters and events from her not so glamourous Hollywood life as depicted in the second section of the movie. Hence the over the top characterisations in the first half. It is certainly a haunting, erotic mystery drama - loved the film and the music. Has elements of Memento - you have to wrap your head around an unusual way of showing an unfolding drama. I would recommend the film wholeheartedly. To those who arent Lynch fans this is Naomi Watts breakthrough film and worth it just to see her acting ability and her herself!! Oh well back to the market!!
