I'm not sure if there is much great storytelling going on in MD or even if the story or script really hold together too well. Certainly the popular theories regarding the meaning of the film are not particularly interesting to me. I could certainly see how an analytically minded viewer might dislike the film. On a surface level scenes feel disparate and part of a larger story that is never shown.
But I think it's an absolute masterpiece of film making. I can't think of any film that crafts such atmosphere and tension, that marries visuals and sound to manipulate the viewer. The Lynch/Badalamenti soundscapes have never been bettered.
The diner scene maybe the one moment that got me really interested in cinema. It's the most creeped out and unsettled I have ever felt during a film. And it feels like a nightmare. Not a filmed nightmare, with spooks or surrealist imagery but that freudian uncanny, stomache turning, sweat inducing, claustrophobic nightmare. Dali and Bunuel are great and all but I've never seen anything that captures dream logic/sensation like Mullholland. The Coffee scene, the cowboy, the audition, scene after scene of disturbing, thrilling cinema.
If you don't feel it, deep in your fecking bones, then I'm not sure how much else there is to get from the film. As an overall work of art/fiction/film I'd take Blue Velvet, Eraserhead, The Elephant Man and Lost Highway over it but as a demonstration of craft, it's unmatched.