Break the code, solve the crime. One thing that draws a lot of viewers to the films of David Lynch is Lynch's refusal to express his intentions on the surface. In an age when every film's message must be explicitly stated for an audience with the attention span of a puppy, David Lynch's dogged refusal to ever play that dull game is especially thrilling.
It also means that theories about what, say, that blue box in Mulholland Dr. means are more plentiful than donuts in Agent Cooper's mouth. Whether they be glib brain farts or endless exegeses, explanations of what Lynch really meant are everywhere. To the late filmmaker's credit, he rarely validated any, but also rarely outright said any were wrong either.