Steven Sheehan’s review published on Letterboxd:
It comes as no surprise that the seeds of Mulholland Drive were sown during the filming of Twin Peaks. The dark seedy shadow of that series bleeds into the heart of this despairing nightmare continuing Lynch's fascination with the hidden corners of the mind. His skill and depth of composition on show here brings us the closest we have been yet to a 'real' dream state on film.
That amalgamation of hope, fear, insecurity and desire we inexperience during our sleep form experiences so tangibly real we cannot wait to return. The beauty of this film is that by not appearing to make much sense (certainly on a first watch anyway) by virtue of how Lynch frames the narrative, it actually makes perfect sense.
Anything is possible in a world where normal rules do not apply - although we are still mostly bound by our rules of physical reality in our unconscious state - and Lynch takes full advantage of that realm of exploration. Dipping in and out of what appears to be normality he bridges surrealism with a dangerous mysterious edge always lurking, ready to spring alive again at any moment.
Nobody does bizarrely scary like Lynch. The physical design of the characters, their speech, behaviour and the atmosphere he drenches them in turn them into forceful, nightmarish beings you want to erase from your mind. Which is easier said than done. Otherworldly creations have become his speciality but the root of their connection with reality ensure they are truly disturbing.
There are a number of theories swarming the minds of film fans ever since this appeared over a decade ago. Which one rings true really comes down to the individual with Lynch adding to the confusion by playfully pointing toward particular clues. It wouldn't be a surprise if he was teasing, encouraging the discussion and sending us on a wild goose chase. The code of Mulholland Drive will probably never be cracked and it is all the better because of that.