Hmm, I dunno, it's not really like any of his works. I guess it's probably his darkest movie (in tone) except for Lost Highway, so that'd be comparable. It's more straightforward like the Twin Peaks series though. I dunno, it's a very beautiful and rewarding film.
Another great movie of his is the PG-rated (or is it G-Rated?) "Straight Story". Imagine something almost akin to a family film.. but Lynch-like. It's still quite weird and awesome.
I agree, though, Twin Peaks as a whole is just un-fucking-believable...
Lynch is great, he's actually a big Beefheart fan, he talks about Beefheart in "Lynch on Lynch" and he did a cover of Beefheart's "Peon".. well, it's just him reading the lyrics... but yeah, at some Beefheart celebration thing a few years back. Pretty weird.
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