Hey there, after reading many theories, after watching the film frame by frame and after reading Freud and a book in dream intepretations! Here is my submission to the meaning of the film.

For these explanations, you have to consider that all the scenes, are within one moment in time! In other words at the moment of Dianes death, all the desires, dreams and memories that Diane has are in one single moment! Imagine in death there is no existence of time, therefore, all the sequences within the movie dont have to be in any significant order to represent logic.

Another point, concerning the DVD version, there are NO chapter points, this could be intepreted as one sequence of Dianes memory. And thus all the scenes within the movie are not meant to be in any specific order. but to be views in one representation!

The key points within the movie:

THE KEY REPRESENTATION:
you will see that the key changes shape! in the dream sequence the dream is triangular! - This can represent the triangular love affair of Diane, Camilla and Adam! and when the box is opened with this key, it represents the realisation that the fantasy is no more then false! The importance of the key in the dream connects Diane with the memory that it was the key which is the signal for Camilla's death! And remembering it was the key that belonged to Rita, so the connection is also there.

WHEN RITA OPENS THE BOX:
When you see Betty's Aunt enter the bedroom after the blue box drops to the floor - this can represent that "the dreamer" realises that it is indeed a dream and thus erases all the previous events regarding mostly Betty and Rita - in otherwords, it represents the realisation that the love affair never happened! In reality Diane's Aunt is deceased, but within the dream the Aunt serves the purpose as a device to allow Diane to form her own fantasy in her own logical narrative.

THE TRAMP, MAN AT WINKIES AND LOUISE:
I feel that the tramp, the man at winkies, and Louise serves the purpose of being Diane's consciousness trying to inform Diane that its not real and its fantasy!

The tramp = the holder of the blue box = Diane consciousness - the blue box represents Diane's repressed state of mind.

The man at winkies = Dianes realisation that its a dream (he explains he has a dream!) So the man being Diane's consciousness momentarially realises reality when he confronts the tramp outisde, and thus the man dies, as within reality Diane is already dead!

Louise = She comments to Betty that its not her real name - Louise also looks simular to that of the tramp!

THE CLUB SILENCIO:
The club Silencio is more of a enterance into another dimension (afterlife) and within the Club, the stage performers echo through Diane's consciousness that she is no longer alive. The singer performs, but during, she falls to the floor but she is still heard singing, suggesting that the body dies but the spirit still lives on! And considering that Silencio is spanish for Silence, represents the silence of death!

THE DREAM SEQUENCE:
the first 2 hours does suggest somewhat of a dream, if my theory is correct, at the moment of Diane's death, the dream seqeunce is put in place for Diane to recollect her fantasies and desires.

Also, within the dream we see Betty and Rita visit Diane's apartment, the theory that its all a moment in time makes sense, as within this moment Diane can sense within her dying state (in reality) that she is already dead!

THE SUPERIMPOSED SHOTS:
The film begins with the Jitterbug Contest, superimposed with Diane (and most probably her grandparents - also the grandparents could represent the period of the 50's as used mostly in the film).

Also connect this with the end sequence of the movie, when shots of LA with Diane and Camilla superimposed, however Camilla has the blonde wig that Rita wore - this can represent how Camilla was indeed murdered, then Diane kills herself so she joins Camilla in the afterlife, however with Camilla wearing the blonde wig this would suggest that Diane joins Camilla with the memories she has created for Rita!

In addition to the above suggested, the superimposed shots kinda give a spiritual feel, since the first and last scenes of the movie conveys this, it can suggest a single moment in time whereupon the scenes inbetween these two seuqences would suggest desires/fantasies and memories in a flash of time when Diane is dying from the gunshot.

Finally, the very last scene is of Club Silencio - this would suggest that the club represents the moment of time and when the lady with the blue wig whispers "Silencio" it suggests "Peace", as in - Diane is allowed to lay to rest in the afterlife.

AFTERTHOUGHTS:
Consider the following:

The blue light in Club Silencio
The blue Lightning in Diane's apartment (when she shoots herself)
The blue lighting of the tramp (after Diane shoots herself)

They are all connected as one moment in time!

As Diane shoots herself in reality, her subconsciousness reacts in one moment, so she creates the tramp to represent her demons, the club silencio as a form of non-reality (like a realisation on death itself) The empty stage with the microphone in the center representing the "light"!.

Also remember, when Betty and Rita visit Diane's apartment, when Diane wakes up from sleeping, when the grandparents enter the apartment from underneith the door - there is one sound that remains constant in all 3 scenes - and thats the sound of knocking at the door - it could be beleived to be the detectives - as the scenes before suggest that - as the woman collecting the ashtray and plates mentions to Diane that detectives were looking for her. The blue light could represent police cars!

In the dream, when Betty and Rita visit Dianes apartment, the knocking of the door comes from the other woman, however I believe that Diane in her dream creates this action as a form of connecting outside influences within her dream - think of how if you have the television turned on during sleep - what ever if heard from the TV can be projected within the dream!.

i have read some of the same sentences else where... did you copy from someone?:p

or else someone has copied it from you..
heh..

I notice many people refer to the old couple as Dianes grandparents even though they travel with her to LA and seem to behave to her more like travelling companions. Perhaps they are all travelling to the afterlife? It would explain why two old duffers could afford to take a Limmo from LA airport and why they are maniacally excited/happy:perhaps they are entering paradise. Given Dianes turbulent last days, she obviously has a few things to work through before she can complete that journey.
I think Diane and Camilla are both dead, and are being read the book of judgement(so to speak). Spirits dying such violent deaths may need to remember how and why they died. This explains them being together for that journey, because they both played parts in each others death.
The bag lady,club silencio, the cowboy and other odd characters may be afterlife spirits shepherding them on their journey. Notice how the the two old folks chase Diane to her death,yet emerge with her from the airport;she got to know them post mortem.
Its just a theory and it ties in a lot of things but I'm still mulling it over. Dreams seem too easy. Who dreams about ugly bag ladies and cowboys meeting with directors they don't know yet.