Since someone brought up Inland Empire, I thought I'd give my two cents... I think it's probably Lynch's worst movie (unless you count Dune as a David Lynch film). I think the film is very messy and way too long. It just needed better editing and I felt like Lynch didn't have much to say with it. If anything, it seemed blatant that the guy was merely experimenting. It also feels like a total rehash of his previous films which were much better, Mulholland Drive and Lost Highway.
Either way, here is my top 5 from his work:
Twin Peaks: Fire Walk With Me
Wild At Heart
in no particular order. Lost Highway is his most terrifying film I think, and his darkest. I think the first half is brilliant, but I wasn't so crazy about the entire sequence where the main character's identity changed. I'm fine with the concept itself, I just thought it paled in comparison to the way the film started out.
His most underrated may very well be The Straight Story.
If you were to ask me, Wild at Heart is probably his worse movie, and it wasn't even that bad.
Inland Empire is easy to hate for it's disjointment, but like many Lynch movies it's more or less a "moving painting" subjective to the interpreter. When you watch a movie like that, you need to be in the right frame of mind and not have too many expextations in terms of the narrative. As an experimental piece, I think it's one of the best around.
My only gripes with the movie came at the beginning with the shaky camera (I hate that in movies) and while him going digital didn't bode well with some people I was fine with it. You can't overlook Laura Dern and her amazing performance, she's the core of this movie and couldn't have pulled it off any better. What I admire most about Inland Empire it's that Lynch dared challenge himself in ways he hasn't since Eraserhead, it was a bold move to do something like this after MulHolland's commercial success but it works.
I always thought Dune was great (especially the extended edition),it's just that most of the technobabble went over some people's heads if they're not familiar with the Frank Herbert novel. The movie did suffer from Lynch not having complete control though, that's what you get when you inherit Alejandro Jodorowsky's table scraps.