Try The Elephant Man (1980), The Straight Story (1999), and then move up to Wild at Heart (1990), Eraserhead (1976), Blue Velvet (1986) and Mulholland Dr. (2001), in that order.

In the meantime, however, I just watched Lost Highway for the third time last week; only on this viewing did I grasp how brilliant it is. Reading my review of it may help "appreciate" the film more, but understanding it is another thing. Essentially, I think you should watch Lynch's other suggested work, then revisit it, keeping in mind that understanding his work is not necessarily the same as finding the meaning; its meaning, indeed, is entirely the feeling, emotion or reaction it conjures up upon your own mind while, and after, watching it.

Thanks,
Mick