Let Roger Ebert explain it (or not).
"This is a movie to surrender yourself to. If you require logic, see something
else. "Mulholland Drive" works directly on the emotions, like music.
Individual scenes play well by themselves, as they do in dreams, but they
don't connect in a way that makes sense--again, like dreams. The way you
know the movie is over is that it ends. And then you tell a friend, "I saw the
weirdest movie last night." Just like you tell them you had the weirdest
dream."
http://www.suntimes.com/ebert/ebert_reviews/2001/10/101205.html
