I used to feel that way about lynch before I discovered the secret to enjoying his work.
Basically, you have to stop trying to "figure it out"
He doesn't want you to figure it out. In fact, when something starts making some kind of metaphorical sense, he'll actually change it to conflict with that metaphor.
Stop thinking there is a hidden meaning. Stop trying to find it.
All you need to do is sit back and let him take you on a ride. You're going to see gorgeous cinematography, hear haunting music, and watch scenes that will evoke powerful emotional reactions.
Sometimes you have a dream that doesn't make sense, but you usually don't say "that dream sucked" because you have different expectations for your dreams than you do movies.
This is the key to enjoying lost highway, Mulholland drive, Eraserhead, basically his weirder stuff.
He does have some "normal" stuff that everyone can enjoy. The elephant man, the straight story,.... Twin peaks and blue velvet kind of walk the line between his normal and his weird stuff