Pfflam, I completely agree with you about how to approach a David Lynch film.
Alcimedes, the most difficult part of seeing a David Lynch film is eliminating that need to "figure it out". We are almost trained to try to understand everything we see, that sometimes it takes the real enjoyment out of it. The one thing you must consider is that certain characters an occurrences possibly had no meaning whatsoever. However, there again you're making a judgement about what something meant.
I've seen Mulholland Drive twice now, and I still can't stop thinking about it.
I thought I'd share with you my four favorite scenes:
#4 - The Espresso scene - you know what I mean!
#3 - First meeting with the Cowboy - fantastic scene, spooky, dark, well written, very psychologically insightful, etc.
#2 - Silencio - wow, this blew me away; great music, incredibly spooky, well shot, etc.
#1 - The audition scene - probably the best scene I've seen on film all year; Naomi Watts deserves an Oscar nom for this scene; WOW!
Hard to believe that Mulholland Drive was originally shot to be a Fall pilot tv-show on ABC....