This is why I said it's underrated even though it has an 8 on IMDB (which honestly doesn't mean much, as others have pointed out). IMO it should be in every Top 10 or Top 20 movies of all time conversation. A surprising number of people I know have never even seen it, even friends of mine who consider themselves movie buffs. I didn't see it in the theater myself, and I'm a big Lynch fan. I was trying to figure out wtf was going on that so many people missed such a great movie from a director who was (by then) plenty famous. Then I realized, Mulholland Drive dropped in the theaters the month after 9/11... I think it got passed over by audiences in the insanity that followed. People have picked it up subsequently, especially critics, but it missed the exposure it initially could have with audiences due to unfortunate timing.
Not that it was ever going to be a universal audience pleaser anyway. The movie is as deep as a glacial lake. It's an intricate puzzle, and Lynch doesn't even let you look at the box top while you're trying to figure it out.