Comment by ascagnel_

Just start with the pilot first -- as it is, the US pilot is basically a feature-length film (it runs 1h25m), and features enough of Lynch's trademark juxtaposition of horrible and mundane, and piles on the warmth and love for his characters that set his works apart. The European cut of the pilot adds a few minutes to the end and originally aired as a TV movie, and may be worth it if you're not otherwise hooked by the show, since it features a definitive ending as well as the first appearance of the show's trademark "red room" (footage from the sequence was included in a later episode in the US).

For me, the second step would either be The Elephant Man or Mulholland Dr. -- many of his works tackle very dark subject matter and include sexualized violence that can be downright disturbing to watch, but those two omit those elements. The Straight Story is much lighter, but largely lacks the surrealism Lynch is known for.