Your comment that we agree seemed to suggest that you were saying it wasn't worthy of classic-status because it lacks a coherent narrative. My mistake.
Lost Highway is my favorite of the bunch, although I still haven't seen Inland Empire (and I never finished Twin Peaks, although by now I know how it ends). A large part of it has to do with the architecture of Fred's house (which Lynch owns and actually designed). I love that house--not to live in necessarily, but for cinematic purposes. All the weird windows, skylights, nonsensical corridors, etc. It's a film about observation/surveillance (in part), and the house totally reinforces that theme.