As with most David Lynch films, one thing you notice about Mulholland Drive is how good the soundtrack is. Right from the opening jazz number, Jitterbug, a damn cool tune, long-time Lynch collaborator Angelo Badalamenti really knows how to make the film either cool and groovy, or mysterious and spooky.
There are a few tracks which are quite minimal when listened to on their own, because they're parts of the score, and several of these are among the first few tracks. This may be slightly irritating if you want to get to the more standout tracks. The score is very good though if you're in the mood. If you listen out, you can hear a melody straight out of Twin Peaks, and the score is fairly similar, but not too much so.
The overall tone for this soundtrack is jazz or quiet, moody string scores, but there are a couple of tracks that cover other areas. There's the catchy 50's pop song Every Little Star (Camilla sings it in the film as her audition), and some bluesy tracks (Go Get Some is my personal favorite), and also a track off an album co-written by David Lynch.
Long story short: If you saw the film and thought the soundtrack was cool, this is well worth it. If you've not seen the film, do that.