I first saw Mulholland Drive (2001) about a month ago. I bought it second-hand from the local market.
It's kinda weird, it's a David Lynch film, lol. I've seen half his movie output (5 films out of his total of 10).
In addition to this film, I also own Eraserhead (1977), The Elephant Man (1980) and Blue Velvet (1986).
Plus, I remember watching Dune (1984) on TV years ago.
Mulholland Drive is definitely strange. Lynch has stayed silent on what the film actually means. He did the same with Eraserhead - I think it is Lynch's view that the film means what you want it to mean, leaving the viewer to work out the plot.