1) mulholland drive
(to clarify, as i watched it again pretty recently: some of the stuff that doesn't directly involve betty/diane is pretty goofy, but perhaps a suicidal, murderous woman needs a little levity in her dreams and movies. the meat of it, though... that close-up of their glowing, translucent faces over the cityscape at the end might be my favourite shot of all time (along with the one in PERFECT BLUE when that film's betty dances off across the lamp posts). watts' performance might be my favourite too, or at least the one whose tragedy haunts me the most)
2) FWWM
3) blue velvet
4) lost highway
5) wild at heart
2 and 4 need rewatches but that's where i'm at based on memory. 5 could easily be inland empire but i like showing wild at heart some love. i love the first season of twin peaks more than any of them, and haven't watched the new one yet.