This is my favorite Lynch films, hands down.
First saw it in a theatre and the film's lighting was so weird and disorienting that at times you weren't sure if there was some weird exterior light source hitting the screen. Uber weird.
More twist and turns than the highway itself :P
For sure it's fun to try and nail down exactly what happened but IMHO it's a little more fun not to know - each time you rewatch it you might see/think/feel something different.