I tend to view Lost Highway, Mulholland Drive, and Inland Empire as re-tellings of the same story from different angles and with different philosophical implications. All three set up a dichotomy between the real world and the ideal world, the latter identified with or exemplified by movies in general and Hollywood (the Dream Factory) in particular. In the first two films, the ideal world is characterized as the world of love, in which the loved one embodies the lover's ideals (and/or defines them) and the lover is the center of the loved one's world; and in both cases the real world is one in which the loved one cheats on the lover and the jealous lover then kills the loved one. In the adulterous act the lover dissolves the ideal by removing herself from her assigned role as its embodiment; and by focusing her attentions on another, she casts the lover from his/her desired place at the center of the ideal world. Thus, the adultery acts as a perpetual rupture of the real into the ideal.
The two films have slightly different approaches to these themes. In Lost Highway, the ideal world is that of cheesy "guy movie" and the spurned/murderous lover idealizes himself as a virile young dude. From his masculine perspective, his loved one's adultery has the connotations of emasculation and is intimately connected to his fear of impotence. In Mulholland Drive, the ideal world is more explicitly acknowledged as the dream world of Hollywood, and the spurned/murderous lover idealizes herself as a caring, talented woman who is the center of attention. (I don't think it really makes much use of her "female" perspective, unlike Lost Highway's depiction of the "male" perspective.)
The two films also arrive at opposite conclusions. In Lost Highway, the real and ideal merge in the end, and the story is presented as an eternal return of this process, an endless repetition of the real being forced into a set of archetypes and then erupting those archetypes. This presents a Hegelian picture of consciousness in which thesis and antithesis repeatedly form before being overcome and contained within a synthesis. In Mulholland Drive, the real and ideal are irreconcilable; their difference cannot be overcome, and the story has a definite end with the lover's despairing self-destruction. (This could be tied into Kierkegaard's critique of Hegel's dialectic.)
What interests me most about Inland Empire is how it retells this same story from a very different and much larger perspective, and how its conclusions act as a commentary on the earlier films. The protagonist of Inland Empire is no longer the scorned lover, but the cheating loved one; this is an immediate upheaval of the earlier stories that forces us to completely change our perspectives and sympathies. In this story, a conflation of the real and the ideal is actually what drives the cheater to cheat; she is so absorbed in the ideal world that she is cast into that she adopts her role in it as something real. Simultaneously, we see the story of male emasculation and female cheating retold again and again in many forms, setting it up as an archetypal tale, rather than "the real" that ruptures the ideal; we see how the ideal world acts as a perversion that makes the loved one a whore; and in Dern's monologue, we see a story told by an embodiment of the problems that "real" women face as they are forced into the roles that men wish for them. All of these aspects continually comment upon one another, and put the earlier films in a broader context.
By far my favorite part of Inland Empire is the celebratory ending. When the camera pulls back from the scene of Dern's height of misery, the film asserts a philosophical rejection of the earlier two films: it insists that their is no distinction between the real and ideal. The miserable "real" world that always threatens to rupture the ideal world is itself a construct of archetypes and ideals. I don't know much about Lynch's transcendental meditational beliefs, but I think the film's ending is a profound and revelatory celebration of Mayahana Buddhism's central tenet that "There is not the slightest difference between cyclic existence and nirvana" (in which case the earlier films can be seen in the light of Theravada Buddhism's more pessimistic quest for self-annihilation). As the Buddha said, "O what an awakening, all hail!"