Lost Highway is one of the best Lynch movies. Music is exceptionally good. The visual representation of a human emotion ( or a state of mind), with a character who is so dramatically hideous and humourous at the same time, is an achievement in this film. This guy with a stout figure, short stature, white eerie face and piercingly-haunting eyes, is one of the most horrid characters of all times. He reminds you of 'The Death' from the movie 'The Seventh Seal' and it seems natural that Lynch might have gotten inspiration from that movie. The dialogue involving this character is most stunning in this story. Like his other major works, Lynch has directed and written this story on his own.
Like many other Lynch movies, it deals with prostitution along with other things. It also has a scene showing Hollywood and it seems to be one of the hallmarks of Lynch movies. You cannot interpret this story to the full but themes are definitely those of extra-marital affairs, betrayal in love and suspicion in relations. In first few scenes, the protagonist says " I like to remember things in my own way and not the way they happened." This tells you about absurd climax. A very enjoyable movie with a few very disturbing sequence. Disturbing you is one of the tasks performed by Lynch movies. The other being: Entertaining you and leaving you flummoxed.