I've actually been discussing with some friends that...
Diane isn't dead or she doesn't actually commit suicide. The scene directly after we hear the gunshot shows smoke spewing from the bed and the bum/monster appearing once more. And the last thing we see and hear is the Club Silencio lady saying "Silencio". That would imply that Diane was still dreaming, right?
If it's another twist and the ending has a meaning then i can't figure out that one,i thought it was just Lynch's way of ending the movie.Lynch is a dreamer,no doubt about that.
i need to watch this movie AGAIN,i keep forgetting the smaller details