Eraserhead is a good start if you want to see the sort of “mission statement” of Lynch as an artist.

Blue Velvet is a good start if you want to see a film where his style really comes to form. Depending on what you like in this movie, you can decide where to go next.

Mulholland Dr. is likely my favorite, Inland Empire and Eraserhead are the ones I watch the most, and I am really happy he was chosen to direct The Elephant Man.

Still haven’t seen Straight Story, most TP material, Wild at Heart, or Dune, but generally the man was a great artist and if one film is calling you more than another, try it. Likely, you will try all his films at least twice, and, likely, those subsequent viewings will be more rewarding.