That freaked me out too. Also, I need to go back and look exactly when it was, but there's a scene, I think where she's first walking through that dark house, where you hear some sort of crash or something and then, like, the sound of someone dying. I don't exactly remember when or what the sound was, but I'll tell you when I look at it.
OK, Sedai, here's some things for you and I to think about in trying to figure out the story. I just posted this on IMDb...
Every theory I've read all have one thing in common. There is something major that their theory can't explain.
With something like Mulholland Dr., there are more than a couple theories where everything is explained. Every last little detail. With Inland Empire, I think we have yet to find the real answer.
* Why are 9.45 and "After midnight" referenced so much?
* Why is the scene at the barbecue so different from all of the others? The dialog is so robotic and the scene is almost dream-like.
* What is the point of the rabbits?
* Why do the Lost Girl and Laura Dern appear to share the same husband?
* What is with the often referenced "Unpaid debt"?
* Why silk and why a cigarette? They have some deeper meaning, if they didn't, Lynch would have done something else.
* Why is the sound of a train heard throughout the movie?
* What are the nine whores dancing about?
* Do the nine whores exist, or are they fake?
* "Who is she?" is a really good question...who is she?
* What is the point of the man who abuses the Lost Girl?
* What is the point of the guy listening to Laura Dern dump all of her problems?
The list goes on and on. Here is my own very flawed theory at the moment. I know it's flawed, but I think I'm getting close. I just have to figure it out.
* The Lost Girl crying at the beginning is the original star of the doomed polish project. As part of the curse, she ended up letting the role take over her life, and the real her is stuck in her subconscious. She lets the role take her over and she is trapped in the last place where she was herself. She isn't literally locked in a hotel room, it's where her subconscious has locked her and the character in the movie took over and "died" before the project was over. She was locked there by the Phantom who is the one that haunts over the movie. Why he is the one and how it came to be, no idea yet. Lost Girl is not really dead, like she was said to be, instead she's trapped, waiting to be set free.
* Nikki is an actress who is past her better days. She gets a big role that's going to launch her back to the top. Just like the last girl, the character of Sue begins to take her over slowly as part of the curse.
* Nikki ends up in bed with Devon. But it's the movie. She's become locked into the movie and it's become her reality. Naturally, she's still fighting the change and Nikki flashes out at some points. She remembers something that happens in the future, about the "Marketplace" but by that, is the "alley" like the creepy lady had said. She tells Billy, but the role has taken over, so he laughs it off. He has no idea what she's talking about, because they're in the movie, stuck there. That's why she keeps trying to say "It's me, Nikki."
* The next day, the prophecy comes to fruition. There she is, looking back on herself. She is busted though, and they go to see who it is. She runs off towards the house on set. She looks back and sees her husband. She is completely scared. Her husband, who is actually her movie husband in my opinion, isn't actually there. She's so terrified of being found out, that she's starting to become paranoid. This is a key scene, because this is where Nikki ceases to be herself and fully becomes Sue. Just like the Lost Girl, the last place in the movie where she was herself, is where she's locked away. Not to be freed until either the movie is finished or the Phantom is killed. When she's in the house and sees the hookers, this is her subconscious and the whores are apart of herself. They all have differing opinions when they speak about a big subject, and this is different parts of herself at war with her thoughts and trying to figure out what has happened.
* The project is finished, and Nikki is freed. She's had a sort of connection with the Lost Girl and feels obligated to free her. She kills the Phantom, since the polish girl's project can't be finished, and frees her.
I know it has flaws, but I think I'm close to the theory. I think the true answer is a combination of all the theories. No one has completely nailed it, but I think we all have figured out pieces to the puzzle. So, what's your theory and what do you think of mine? I'd like us all to try and piece it together with bits and pieces of our theories, because I know mine leaves lots of unanswered things about the movie.