Mulhulland Drive does have a cohesive story. Just have to watch it a couple times to get it. And some of the story isnt linear. I'll try to explain it though.

Spoiler: it was a dream. Diane and Camilla had a fling and were actresses. Camilla was more successful and so on. In the dream, everything was almost the complete opposite from reality:

In the dream, the waitress' name was Diane. In reality, it was Betty.
Betty was well received during the audition. Diane wasn't.
In the dream, the director was forced to hire Camilla due to pressure from outside influences.
The director's life was falling apart around him. But, really, it wasn't.
Diane was dead in the dream. Same apartment and everything.
The hitman was a clutz in the dream. He was actually the opposite.
The limo drops Diane off at Mulholland. She goes up and the opposite direction.

It's Diane's guilt before committing suicide. Everything in the dream was everything she wished things would've been. Success etc.