I recently watched Inland Empire. I'd held off from seeing it for fear of how self-indulgent and impenetrable it would be. Boy, was I surprised! I really enjoyed it and saw it as a companion to MD.
I love supernatural stories and I think Lynch does too but I don't think he ever puts anything supernatural into his films. Only events that the characters may perceive as a supernatural or even the audience but I think that Lynch himself has a natural explanation for them - albeit that natural explanation will often involve his characters having some pretty trippy visions and the like.
On that basis I'll be able to rest over IE when I'm able to explain that Laura Dern never plays anyone real in the film and the real person is the girl in the hotel room having some pretty trippy thoughts about her life whilst watching static on the TV.
I also think that Lynch is probably a very autobiographical artist and for his last couple of films has fooled people with lead characters who are female.
I wondered if anyone else on the board had any views on IE?