Oh yes, the Wally Brando scene was gold! Didn't realise that was Michael Cera.
Lucy I thought the shovel sparying scene was great for that reason too.
I think his work is very self-referential; I find Twin Peaks Season 3 makes a lot more sense if I think back to Mullholland Drive for instance. In that film, people are also becoming other people, and have weird dream sequences.
Then there are the same devices he uses over and over again - singers and bands on stage, weird flooring, the colour red, or references to red, creepy characters like the sofa lady - they appear in virtually all of his works.
Then when you look at his work as a whole, 'plots' make more sense. And they make more sense insitnctively but if you try to explain them, it sounds crackers.
Unrelatedly, when I living in Paris I went to check out a room for rent. It was rented out by a couple who had...red curtains...all...around their appartment! Literally. Red curtains on every. single. wall. Couldn't figure out if they were Lynch fans or just odd. Needless to say, I did not rent that room!