Blue Velvet is a classic. My favourite Lynch film is Lost Highway, it completely gets under my skin. The Twin Peaks movie gets hate from some circles, but it's a masterpiece and deeply moving. While also being terrifying as all shit.
My favorite Lynch film is either Blue Velvet or Eraserhead. Blue Velvet is essential if you like Twin Peaks because it has Kyle and explores some of the same themes as the show. It's actually playing Near me next Saturday....I can't wait.
I hated the Twin Peaks movie the first time I saw it because I didn't know what to expect. Seeing it a few more times, I've come to like it a lot. It's disturbing and beautiful, everything you would want from a Lynch movie.
Have I mentioned that I'm a huge Lynch fan? :-)