Here's my quick and dirty summation of each major thing in order, IMO you can't go wrong with most of it.

Eraserhead - funny and horrifying midnight movie classic

The Elephant Man - historically bunk but emotionally devastating "staight" historical drama that he stuffs with stunning visuals and remarkable empathy. produced by mel brooks!

Dune - Not For Me but it has its defenders/cult. FWIW Lynch often said developing and filming it was a waste of years of his life.

Blue Velvet - the movie that brought him to the relative mainstream and inspired ABC to get into the David Lynch business - it's not my favourite but it establishes a lot of his preoccupations going forward. incredible ensemble.

Twin Peaks - People who recommend fan edits etc are doing the show a disservice imo. Luxuriate in its horrible yet cozy yet horrible vibe and roll with the weirdness, not to mention the best-looking cast in TV/film history. Catching the third season week to week was magical.

(Fire Walk With Me - to be watched only after completing S1/2 of TP - the horrifying heart of the whole project. Critically reviled at the time, since redeemed. Sheryl fucking Lee!!!!)

Wild at Heart - made while TP was happening with a couple of cast members in common - it has a few amazing scenes but it has never been my favourite, some people adore it though. it has a bit of early 90s nastiness to it I find tough to watch idk

Lost Highway - his most 90s movie, and his most goth (unfortunately including a Marilyn Manson cameo). incredible sense of atmosphere and foreboding, but sort of feels like a dry run for...

Mulholland Dr - probably the "consensus" classic among his movies, originally intended as a TV pilot and refashioned into an irressistible dream-logic noir with endless corridors

The Straight Story - possibly underrated but I think really just underseen, a deeply moving but still subtly Lynchian G-rated movie made for Disney. quietly amazing movie.

Inland Empire - my personal fave, Laura Dern pulverizing her way through a cursed Hollywood with just the power of her incredible acting. Lynch at the most free and experimental he ever let himself get in his features, liberated by the consumer grade digital cameras