I've only seen Lost Highway once, and enjoyed it, but it's still too much of a mystery to me to comment on it. One of these days I'll watch it again. Other than that, I saw Blue Velvet for the first time recently and it left such an impression that I was still trying to figure it out and process what I'd seen the next day (that was a very busy day for me too, so I wouldn't normally have had films on my mind in that situation). I've since got the DVD and watched it another two or three times. Certainly the best film I've seen in a while, and I look forward to checking out other Lynch films.
Dan