In the classical tradition, thanks to Aristotle, a play, story, poem, novel, or (anachronistically) film is supposed to make its most forceful impact through unity—of plot, time, place, and thematic concern. Well, fuggedaboutit. The unifying aspect of "Mulholland Drive" is atmosphere: sustained heavy menace. It keeps the viewer almost mesmerized.
Twenty minutes in, one realizes that the tantalizing connections, the clever references to other films ("Sunset Boulevard," "Persona," "The Godfather," others), and surreal character interchangeabilities must be enjoyed for their own sake, in that moment. This is "Laura" written by Laurence Sterne and Jorge Luis Borges. The film crescendos to a satisfactorily horrific climax. One is 80% satisfied—emotionally complete and mentally teased.