A very film-geek interpretation (spoilers!!!)

Rating: Null/10 (16 May 2004)

All right, I had a different interpretation of this film. Please not the term "interpretation". As in "do not email me repeatedly to tell me what David Lynch was actually thinking". This is what I, personally, took away from the film.
I viewed this as one of those very popular experiments, the movie about movies.
Throughout the first half of the film, I remained unimpressed. The plot was engaging, but wavered between Lynch's trademark twists and handfuls of clichés-- the amnesia, the purse full of money, etc etc. It lacked any sort of distinctive visual or narrative style. It was the kind of movie I'd seen before. The occasional surreal moment seemed, more than anything, a last-stab attempt to make it a "David Lynch" film.
About halfway through, I stopped to look up some credits. I was sure I recognized some of the minor characters, and I did. The tap queen of the golden age? Former stars of mediocre 1970's TV? Talk about your insane cameos.
On to the second half.
The "Silencio" scene was gorgeously crafted and everything a surreal moment in film can be. The performance onstage is disturbing, captivating, beautiful, and yet somehow exudes a conscious aura of putting on artistic airs. A conscious parody of the surrealist genre and its pretension. The emotional reaction of Betty and Rita makes little sense to the audience, at least at the time, but in this bizarre moment the audience is more than willing to go along with them-- they are suddenly as lost and confused as the two women, completely lifted out of the movie they were watching and plunked down in this ambitious confusion.
And then, of course, the key. The box. The transition, silent and unmentioned, of characters and situations.
At this point, at least in my interpretation, the film begins to come together-- not in the sense that the amnesiac mystery is finally being solved, but that the underlying themes are finally made clear. You realize what you're really watching:
An experimental attack on both movie and moviegoers.
When you view the first half of Mulholland Drive as a setup to placate both the characters involved in the familiar story, and the audience involved in watching it, the second half makes perfect sense. Rearrange all of the actors into different roles, give the story a few twists, and the audience has to go along for the ride-- because they're still watching the kind of movie they've seen before. No character, no element of the basic plot, no scene, none of it is not in some way an exaggeration of some film cliché so used it has actually become built into the framework of the American movie an an expected device.
The late-night meeting with the cowboy, the oddly juxtaposed comic scenes with Kesher and his wife, the behind-the-scenes Hollywood nastiness, the murder mystery. We've seen all this before. The subplot of the casting confusion, the director losing control, and the shadowy men behind the movies (particularly by the time they show up in gleeful demonic miniature) all point the finger as the dead giveaway how Lynch is toying with the elements and expectations of film.
It doesn't matter who's in what role or who did what, change it all up in the middle or throw it all out. Just make sure it's all something the audience has seen before. Change the entire movie halfway through and as long as it's still a familiar plot, the audience will go along.
The gradual realization of the film's intent builds along with the confusion and intensity of the movie's climax, particularly as the odd scenes involving the diner and the homeless man, the final genre twist at the ending, the cameos by two wildly different types of stars, have no place to fit but into "the joke's on you".
Which is basically what this movie is, "the joke's on you" to both dullard American audiences, pretentious art film geeks like myself, and more or less the entire world of movies.
A brilliant played, self-mocking prank of a film, as I interpreted it, and love it.