Just watched the DVD, second time I've seen it. I've still basically no idea what happens. Mullholland drive took me at least 3 viewings to get it clear in my head what 'happens' likewise with Lost Highway. The fact that IE is the best part of 3 hours long and that I'm not a student anymore means I don't quite have the time to watch it on repeat.
I've got the beginnings of a pet theory about this one. Basically I think the 'crying girl' is the key - the one who appears at the start, intermittently throughout, then has an emotional reconcilliation with her husband and son at the end.
My theory is that the whole events that happen are basically in her head in some way. In a similar way to which the car mechanic in Lost Highway was a sublimated version of the life of the jazz musician in the moments of his execution. Or how the first half of Mullholland drive turned out to be some depressed lesbian's wank fantasy.
I think crying girl was probably supposed to be involved in '47' - the original making of 'On High with Blue Tomorrows' - she was involved in the murders, maybe one of the two actors killed was her son? Laura Dern (who is, in some way a sublimation of crying girl) mentions 'i went into a bad time when my son dies'. And I think the implication of the emotional reunion at the end is that crying girl has been catatonic ever since and suddenly just come round. Hence perhaps the rest of the film is her playing out the implications and aftermath of her son's death - possibly aided by seeing the remake of the film her son would have been in. And that this helps her cope. Perhaps this is the 'unpaid debt' that is constantly alluded to?
What does anyone else think?