I'll test the lack of context theory with this one. Though, to be honest, it's David Lynch so you can make up your own context.
I owned this movie on DVD wayyyy back when and it came with a small sheet with ten "clues" as to WTF was going on. I'd add a SPOILERS! tag but it doesn't matter, nobody ever figured our what this movie was about (probably Hollywood's seedy underbelly). I'm just glad that David Lynch's mind never tended to violence.
PS. The ten clues if you ever want to think way too hard about a movie.
Pay particular attention in the beginning of the film: at least two clues are revealed before the credits.
Notice appearances of the red lampshade.
Can you hear the title of the film that Adam Kesher is auditioning actresses for? Is it mentioned again?
An accident is a terrible event… notice the location of the accident.
Who gives a key, and why?
Notice the robe, the ashtray, the coffee cup.
What is felt, realized and gathered at the club Silencio?
Did talent alone help Camilla?
Note the occurrences surrounding the man behind Winkies.
Where is Aunt Ruth?