The movie explained [My personal interpretation!]

Much of this movie is a representation of his subconscious fears. His wife died 7 years ago, he's been single that entire time, and he's extremely afraid to basically fail at his next attempt at a relationship.
• This is shown in many different ways throughout the movie, but it is especially clear right in the beginning when he says to his friend that he doesn't want to fail at marriage at such an old age.
• Later, during his dream sequence, he conjures another conversation with that same friend in which he says something along the lines "so you think I'm a lousy old fool who got tricked for a one-night-stand..?" - another showing of his deep rooted fear of failing at a relationship.

The scene that seems to be the most controversial is that in which the girl is shown waiting next to the phone. This is one of my favourite moments.
• The creepy light in which she is shown is merely a representation of his deep rooted fears: the reason why he is so hesitant to call (of course that his friends' request that he didn't call her for a while also contributed to this!).
• The emptiness of the room represents how little he actually knows about her.
• The sack is there to represent her "luggage", and it's closed because he's afraid that she might be hiding something.

Back to the "real world" (aka, what is actually going on in the movie): the protagonist starts going out with this woman and is very infatuated with her.
• During their first dates we see a number of strange camera cuts which clearly indicate that he wasn't paying that much attention to what she was saying at all.
• He quickly makes his mind to propose to her. They go on that week-end getaway and have sex. However, before they sleep together, she shows him the scars on her thigh. This has a huge impact on him and is partly the cause of his nightmare that night. He begins to realize that there's much he doesn't know about this girl, just as she says that she wants him to know all about her life.
• The fact that she also asks him to only love her, and no one else, subconsciously alarms him - is he ready for this kind of commitment?

Everything else we see is a dream, except for the short moment in which he wakes up at the hotel with the woman sleeping by his side. He later falls asleep again, only to have his nightmare continue exactly where it left off. We can assume they either got married after this, or that he broke things off with the girl. Whatever happened is not shown to us. Maybe his dream was premonitory and she actually ended up sawing off his left foot... LOL.

His terrifying nightmare is a projection of three separate things: fears, fetishes and guilt.

Fetishes: I believe this part of the nightmare was fueled by the girl's insistence that he only love her. In his dream, we see him getting sexually involved with a few different women:
(1) His secretary - it is hinted by her bizarre behaviour that they had a one night stand in the past. This comes back to him in his dreams: she blames herself for her stupidity, how could she think he would have wanted anything else besides casual sex? I personally get a hint of guilt here as well, he probably really regrets whatever short affair they had.
(2) His maid - she said something about every man needing the support of a woman to properly function. He fantasizes about having sex with her while she repeats those same words. I think it's safe to assume that they never got involved.
(3) His son's friend/girlfriend - the protagonist was the first to admit that she was really pretty, and that he was proud of his son. During the nightmare, he fantasizes about her as well.

Guilt: the intense feeling that he is insulting the memory of his wife. While he is going through the audition applications, he turns his wife's picture away from him, as if preventing her to observe his actions. In his dream, the guilt is clear when he introduces his fiancée to his wife, who quickly says she is not good for him.

Fears: This is the longest and most complicated part to describe - please bear with me! After having had sex with the girl (and apparently proposing to her, something we do not see and can only assume he did right after sleeping with her - before falling asleep!) the man starts to think about their relationship. It was all so fast. He starts asking himself different questions:
(1) How much do I know about this girl? He remembers how little attention he paid to what she was saying in their first dates - what if, instead of telling him that his parents had moved away, she was actually telling him a terrifying story about how much she was abused? In his nightmare, we see the alternate version of his dates - the worst case scenario that he fears might have actually happened.
(2) Why is such a young and pretty girl interested in me? Together with the answer to the first question, this is what makes him come up with a most disturbing story of what might have been the girl's childhood. She had an abusive uncle (the man who burned her and caused her to have the scar that she showed him before they had sex. Again, that scar is really important, for it makes him realize just how little he knows about the girl he wants to marry), and her interest in old(er) man, like him, is the way she found to compensate for her childhood traumas.
(3) She lied about knowing that man from the record company, what else could she have lied about? In his dream we witness as he tries to find her in her workplace, but that bar has been closed for a year and it's revealed that she actually never worked there. Notice that the neighbour tells him that the barista/owner was murdered because she was having an affair with a MUSIC PRODUCER - this ties together with the first thing the girl lied about, which was what fuelled this dream sequence anyway.
(4) What will happen if I fail? If I am not ready for this? If I can't love her, and only her? There are two answers for this in the dream sequence: The first one is that she leaves without a trace - doesn't return his calls, and he is unable to ever find her again. The second is much much worse - the might turn into a psycho and try to murder him and the ones he holds dear (like the son, and also the poor pet!)

(Note #1) All these questions and answers are mixed together in dream-like sequence precisely to illustrate that he is having a nightmare. This is the reason why everything is so confusing and hard to follow.
(Note #2) The sack is shown here once more as an analogy for her baggage. What was previously closed is now wide open since the protagonist believes that he has unveiled the mysteries surrounding the girl. In his nightmare, he has imagined all of these horrible things, her traumatizing past and her deeply psychotic nature, thus what we see inside the bag is extremely graphic and vile.

Still doubting that those last 30 minutes were (mostly) a dream sequence?
• Girls with broken necks don't talk. This is not a supernatural story.
• The sequence in which the three extra fingers/ear/tongue are shown should also help the viewer realize that this is all happening inside the protagonist's mind as there is no way he'd actually visualize them, unless he was dreaming.

I'm so sorry for the long post. I hope I've explained myself correctly that that you were able to follow my train of thought! I'd love to hear your comments on this!