David Lynch, you may know, eschews chapter breaks in the DVD releases of his movies, preferring that people watch them straight through from beginning to end. This comes as a real problem with something like Inland Empire, which is three hours long and doesn't have any sort of traditional narrative, to boot; I haven't had three uninterrupted hours to watch a movie since 1996.
There's plenty that's compelling about Inland Empire, especially Laura Dern's performance in the film-within-the-film as an abused housewife telling stories of her drunken marriage to a complete loser, conversing with some sort of psychiatrist or parole officer - it's really hard to tell, which should be no surprise to anyone who's seen a David Lynch movie. Fortunately, there's a way to cheat Lynch on this and watch the movie in several sittings, even though the main menu doesn't offer chapter stops. There are, though, 39 unmentioned chapters on the DVD, which you can skip through each time you sit down to watch it - you just have to remember the number you left off on.