There was a thread about this in rants and raves awhile back. I think the film can be interpreted in a few different ways. Movie buffs like to argue about what it\'s really about. I honestly think that Lynch didn\'t want it to be 100% explainable.
You definitely have to see it more than once. I recommend that you go over to imdb.com, search Mulholland Dr., and go to the message boards. They have people who write 3-page essays about their particular interpretation of the movie, and some of them are damn good.
The DVD was disappointed though, wasn\'t it? No extras. No commentary. No chapter stops.