You should definitely delve into Twin Peaks. It's widely associated with Lynch, and has his "Lynchian" stamp to it, but it's also very accessible, with other writers and directors involved too.

Weird stuff happens, but it's more of a clever, fun-to-watch critique of soap opera melodrama. (Just as his Rabbits is his version of the sitcom; as Blue Velvet is his noir.) It's got the scratching beneath the surface (of innocent communities) that Blue Velvet offered, and it's quite a hilarious and tragic exploration of the underbelly of American society.

It was a big influence on David Chase for The Sopranos, too.

Lynch didn't write and direct every episode (just the best ones ;D ).