EDIT: For what may be considered the most in-depth analysis of meanings in this film, go here: http://xixax.com/halfborn
The short answer... no, this film is meant to be understood by each person in his or her own way. However, many people have created theories...
The story begins with a brief preamble explaining the character of the Polish girl, who is trapped in limbo, or room 47, watching a film which in a sense is the reading to her of her sins, and also a parallel to the same story unfolding in the present in another woman's life.
We then are introduced to an old polish lady who may know the history of the other film, or may have psychic powers herself, or may just be an abstract plot device. She spells it out to Nikki, an older actress no longer in her prime but attempting to score a comeback role. "You will get the part, but beware the consequences of your actions." She then tells Nikki two stories. "A boy walked through a passage, sees a thing and calls it reflection. When he goes through the passage the evil is born." Then, "A girl goes to the marketplace but she discovers that there is a room behind the marketplace, more like a stage." She then offers her final warning and clue about the meaning of the entire movie: "Sometimes you forget whether it's today, yesterday, or tomorrow," or in other words, "not everything in this story will be linear."
The prophecy is fulfilled, Nikki gets the part and begins her loss of identity cycle as she begins to take on the role of Sue. She meets costar Devon who will play Billy and is apparently destined to have an affair with him, cheating on her own husband and he on his own wife. They hear a noise at the studio which Devon investigates, and this is the "evil is born" prophecy being fulfilled as he goes through the passage and sees the reflection (which is later revealed as Nikki's double seeing herself and running away). Evil is born as we learn about the story's true history, and the curse of the Polish Gypsy folktale, 47. "There was something they discovered...inside the story."
We are lead through a few scenes in which we aren't expressly told whether the two actors are talking and possibly planning their affair or whether they're acting and being filmed. We find out that generally they're acting. Nikki begins to lose her cognitive grasp on her identity, slipping away into the role of Sue, but is it part of the curse? She slips a few times, breaking scene and revealing her identity loss by announcing she thinks they're really talking to one another during filming, and that their conversation seems like lines from the script. This is her break from the control of the director, when he asks, "What's going on?" Things are beginning to devolve into chaos, and "it's happening."
The two actors have sex, and Nikki remembers something that will happen tomorrow during shooting a scene where she's literally at the marketplace but finds a room behind it that is more like a stage. She goes through the rabbit hole essentially and winds up on the other side of the looking glass, watching herself, but simultaneously being watched by her husband, although abstractly and we can assume this is pure symbolism of her inner dread of being discovered.
This takes her to the other side: she is now in an allegorical house in Poland where the next hour and a half seems to take place among a group of Polish prostitutes whom she may have known before. Things become nightmarish at this point; we are now in Oz, essentially. Every room of the house brings different hallucinatory and allegorical visions. This is a sort of delve into Nikki's mind where she is now Sue, or essentially her grasp on her self is broken and she is this new character. We see first her vision of her identity as a prositute, which makes sense considering she essentially got there through her affair and her resulting paranoia of being caught. It may be argued that she married her husband for money as well, seeing as he seems to be rich and powerful. The other prostitutes are essentially familiars/spirits/manifestations of her inner and fragmented personality.
She delves then suddenly into the resulting life of squalor which comes from being unsuccessful and forgotten, lost as a prostitute, and in Lynch films this is sort of a direct result of the failure to succeed in Hollywood, as seen in Mulholland Drive, ending up a bum. Her affair is discovered as Sue admits to her husband that she is pregnant, and he admits that he knows he cannot have children. He claims, "You don't really know who I am," as though he has a past she is unaware of.
Time is hideously distorted here, and we flash to the future and the past. The scenes in which Sue is talking to the man in glasses is the future, and she is recounting what happened with her and her husband, he eventually wandered off with his Polish circus friends, and this may possibly be where he met the Phantom who is said to have a sister with one leg. The Phantom has a special ability to influence people he is talking to, essentially some sort of mesmerism.
In the past we see scenes from the streets of Poland; presumably many of these, probably the ones colored in sepia (old looking brown film tones) are scenes from the original film which was never completed due to the murder of its two lead actors. The film seems to deal with prostitution, adultery, a woman becoming pregnant by another man, and murder. The prostitutes are essentially beyond the laws of time and space, being spiritual forms. You could say they exist wherever the trouble is; maybe they are the personified form of the curse or just show up wherever it goes. Eventually we witness the murder of the main actress of the movie.
Sue returns to the house of her lover, Billy (the character played by Devon) to tell him she loves him, most likely in present time, but finds his wife there. She causes a scene and is thrown out. Now dejected, she wanders the street like the prostitute she has become. She sees the girls turning tricks, but she shows them how it's really done, saying, "Hey, watch this move." This is her acting out symbolically the fact that she was once a big actress, and even though she's a bit older and no longer in her prime, she's still got it. She winds up going to the Axxon N club and finding her way back to the room with the man with the glasses.
All along we see scenes of Bill's wife, but she is dirty, and looks crazed. She tells the cop in the confession room that she is going to murder someone, and that she was hypnotized to do it by a guy in a bar. He did it with the wave of his hand. We later see this happening in a scene that directly parodies The Shining: as the man is seated in front of her, it is the Phantom using his powers, doing the finger and voice Danny does in The Shining. Another Kubrick reference is in the Axxon N. club, where behind the go-go dancer we see a Lolita poster on the wall.
Sue leaves the room with the man with the glasses when she overhears him saying that the Phantom is near. She knows she's probably going to be murdered soon. She is on the street now, sees her assailant, and takes out the screwdriver, but the assassin, who is Billy's wife, takes it away and stabs her through her intestine and into her vagina, making a hole which is ultimately probably going to kill her baby. She wanders around and lies bleeding near some bums on the street who begin a conversation. The Japanese girl talks about her friend in Pomona who is basically the archetypal fallen victim of this movie, a woman who wanted to be an actress, but failed, became a prostitute, but still puts on a blonde wig to look like a movie star. Sue then gets up and spits blood all over the Hollywood walk of fame, specifically on a star which reads Dorothy something. Wizard of Oz reference, perhaps?
With this Sue's spell is broken: she regains her power after a simulated death and rebirth, as the audience and she begin to realize this has all been part of the movie, and in a sense she is stuck inside the movie, in the limbo with the Polish girl in the hotel room. And as she sees this she gains a power over it, like in Labyrinth, when Jennifer Connelly winds up back in her bedroom but realizes it is just an illusion of the labyrinth and that she is not out yet.
She gets up and leaves the studio, walks past the director who has no control over her anymore, and seeks out the real cause of the evil and the curse, which is the Phantom. She walks into a theatre and sees herself on the screen, a symbol of how she is trapped inside the story. The director describes in the beginning that the original actors found something in the story before they were murdered; this seems to literally mean it was inside the story, the way Nikki is now trapped inside of the story. She sees her past on the screen, and then it shows her her present, showing that she is still trapped inside. She walks up the staircase which leads her eventually to...Room 47!
At this point the Phantom appears, and Nikki has now found that which is causing the evil, the thing in the story which the other actors found, and it is coming right for her, so she shoots in a few times and it dies, with a hideously distorted version of Nikki's face looking like a twisted clown. We can assume this is a symbol of Nikki's persona as Sue, and she is destroying it now. She enters room 47 where the rabbits live. She has finished chasing the white rabbit through Wonderland. In doing this she finds the Polish girl in the hotel room and frees her with a kiss. The Polish girl is able to return to her husband, who seems to be Nikki's husband. Like The Shining, it is as though he has been there in the past as the same cursed role that he plays in the present. He even insinuated this, saying he had a past that Sue didn't know about after she admitted she was pregnant.
The spell is now broken, and we return to Nikki sitting with the old Polish woman in her house-perhaps it was all a dream of a blue tomorrow as the Polish lady had stated in the very beginning. Nikki looks over now and sees herself as a more mature and innocent, angelic version of herself in domestic bliss, her reward for taking a righteous path. She no longer sees herself as Sue, she is aware of who she is, she doesn't need the comeback because she is whole as herself.
The final end credits scene is essentially for fun; we see many allusions to other David Lynch movies, almost as if he's poking fun. It's a celebration to throw off the darkness just endured and enjoy the goodness of the rewards of our journey. We see the Phantom's one-legged sister who says, "Sweeeeet;" this pans over to the Pomona hooker in the blonde wig sitting with the monkey (which may be from Twin Peaks: Fire Walk With Me). Panning again we see Laura Harring from Mulholland Drive who is just chilling, winking at Laura Dern wearing her blue dress from Blue Velvet and sitting next to Nastassha Kinski. Next to them is a lumberjack sawing wood, making one thing into two, also an allusion to Twin Peaks and Blue Velvet, which take place in logging towns. Then, the party starts and we celebrate.
It's not necessarily all in her mind. You could say the whole thing is in her mind from when she's talking to the Polish lady (Grace Zabriskie) in the beginning, since it all winds up back in that room. Maybe she was just envisioning the whole thing...