Mulholland Drive is my fave. I've seen it more than any other movie - it's actually my favorite film of all time. I feel like he took the excellent but not quite perfectly executed concepts present in Lost Highway and polished them to perfection. Before Mulholland, Lost Highway was my favorite but I still recognized that Lynch's vision of closed time loops and multiple yet simultaneous realities was not yet perfected. I'm a big fan of his works that give me what I can only describe as the "Lynch High," where I get a sub-conscious awakening and satisfaction from a completeness that can not be defined in words once the credits roll. Eraserhead provides this fix, but I truly believe Lynch reached a zenith (hopefully not his last) with Mulholland Drive. I could go on, but as one of my friends who recently joined Bluelight (another Lynch fiend and incidentally the only person who I can actually enjoy watching a Lynch film with instead of alone by myself) can attest, I could go on and on and still not quite define the feeling. Mulholland Drive, Lost Highway, Eraserhead, and Inland Empire all produce a very distinct chemical reaction in my brain, and there is an afterglow that is more than just my imagination.
Speaking of Inland Empire, I have sat through it three times so far since its release and am debating whether or not right now whether it is a contender for the throne. The closed time loops and identity changes began their birth and metamorphosis with Lost Highway, and the trend progressed to Mulholland and then to Inland Empire. Lost Highway was the most neatly packaged, logic-wise, and Lynch provided blatant scenes of identity changes - I guess since he hadn't figured out how to perfect his vision artistically, he made up for it by creating a highly palatable piece that resulted in a lesser subconscious, indescribable awakening when compared to his other more complete pieces.
Mulholland made the transitions flow more smoothly, and made the laws of that universe's physics feel natural on an almost instinctive level - the dream logic that controlled the world touched the subconscious further and drew me in to the point where I didn't even notice my mind adapting to it. The thing that makes this movie my favorite movie of all time is that it creates a distinct emotional response that is very real, yet can not be defined using any words. The beautiful thing about Lynch is that I believe he may feel the same way during the film-making process. Perhaps a lot of his films are set around the notion of exploring uncharted waters that are present in the human mind very strongly but are hidden because of their thus far inexplicable nature. Maybe a lot of his personal meditation revolves around finding these treasures.