[[WMG: Grand Unifying Theory of David Lynch]]

Everything begins with Eraserhead. Henry Spencer lives in an industrial shithole and has been contaminated by the pollution. This affects his perception of reality, and also explains why his baby looks this way. After [[spoiler: murdering his baby]] in a moment of despair and madness, and having an horrible nightmare [[spoiler: in which he's decapitated]], he decides to move.

He goes to the peaceful Washington State and becomes a Lumberjack, changing his name to Pete Martell. During the week ends, he goes to a nearby city called Lumberton, to [[UnusualEuphemism have fun]] with Frank Booth and pals.

It's there that he encounters Jeffrey Beaumont. From the very beginning, Jeffrey's attraction to mysteries and investigating is clear, and after the events of BlueVelvet, he resumes his studies to become an FBI agent. For some reason, he's forced to change his name to Dale Cooper. Sandy and him have a divorce after his affair with Caroline.

"Dale Cooper", getting older and more mature, becomes a better man than Jeffrey Beaumont was, more concerned about helping people and less about voyeuristic thrills, but his own personal demons still exist, and come back to haunt him while he's in TwinPeaks, investigating the murder of Laura Palmer.[[spoiler: This is how he ends up failing the test of the red room and Bob takes over his body]].

We know from the final episode of Twin Peaks that Bob can reverse time [[spoiler: (he does so when Windom kills Cooper in the Red Room)]] and one of the possible interpretations of the scene in the same episode where Cooper is given a cup of coffee in the red room [[spoiler: and said cup of coffee appears not to contain liquid, then to contain some viscous liquid, then coffee]] is that the dwarf has powers over time as well, and can stop it or slow it down.

Film/MulhollandDrive : The link here is Mister Roque. It is actually the Little Man From Another Place. Since Bob's out having fun [[spoiler: in [[GrandTheftMe Cooper's body]]]], the dwarf must harvest Garmonbozia by himself.
Hence all of the problems of the filmmaker. However, the MFAP soon finds another, more interesting prey : Betty, who, despite a brilliant audition, was rejected in favor of Camilla Rhodes. The denizens of the Red Room love to feed on young women, and Betty's perfect for the MFAP's purposes.
He traps her in a separate dimension, contained in the blue box, and tortures her by warping her reality [[spoiler: until she kills herself]].
The first part of the movie is the reality, and the other occurs in the blue box dimension.

Film/LostHighway occurs in the same universe, as stated by WordOfGod. Fred Madison makes a deal with "the mystery man" someone who can bend time to his will too. Thus they have [[ArcWords met before]] in the mystery man's past and Bill's future. Thus [[spoiler: Bill gets out of jail]] because the mystery man replaced him by a younger version of himself.

However, at one point, Fred/Pete Dayton fails to deliver something to the Mystery Man [[spoiler: most probably Renee, his wife/lover]], and the latter proceed to cancelling all of the changes he's made to the timeline, hence the end.

This is how Film/{{Dune}} fits in. In Dune, the space guild travels without moving because the navigators can bend time and space as well. Dune occurs in the future of the same universe.

* So where does Film/InlandEmpire fit in? Is the Rabbit room some ancient prototype of The Black Lodge? Who knows?

After divorcing Jeffrey, Sandy Williams becomes a nurse and ends up looking after a mentally ill woman who believes her to be her daughter. Sandy gets so used to being called "Lula" that when she met a new boyfriend named Sailor she accidentally introduced herself as such and decided to run with it.

Of course, Sandy's patient isn't so keen on her new boyfriend and persuades some old friends try to stop them. Sandy eventually gets fed up and quits her job as a nurse to have their baby, and marries Sailor once he got out of prison, and they bought a large house. Several years later, Sandy starts to consider trying her hand at acting, takes some lessons, and finally lands a role in a film by Hollywood Director Kingsley Stewart. She is excited, but because she is extremely nervous decides to adopt the stage name of Nikki Grace. The role turns out to be extremely demanding, and soon Sandy/Lula/Nikki Grace finds herself starting to adopt the persona of her character, the difficulty finally leading her to see rabbit people.

The "rabbits" are in fact Betty and Rita, still in the warped dimension of the box but left there after The Man from Another Place is done with them. Without his control, the dimension has settled into one form, but has been distorted by his hand so much that it doesn't even allow Betty and Rita to have a coherent conversation. The confusion brought upon Sandy/Lula/Nikki Grace by the stress of her acting career ultimately allows her to perceive this dimension, leading her to try and help them.

Oh, and at some point, Gordon Cole accidentally opened up another dimension and entered a world of crudely drawn cartoons where he turned into an angry abusive husband [[note]]This is how [=DumbLand=] fits in[[/note]]. After [[spoiler: accidentally spraying himself with insect killer and being overwhelmed by ants]], he was able to return to his own world. However, he finds that Cooper has taken over his position in his absence and decides to let him keep it. Feeling guilty about all the people he beat up in the dimension, he decides to distract himself by joining a film crew, and gets a job working as a lighting technician for Kinglsey Stewart. He later returned to Twin Peaks and married Shelley Johnson. A distant descendant of these two would eventually get a job working as a spice miner on Arrakis.

* Admittedly I'm still not sure where Film/TheElephantMan and Film/TheStraightStory fit in, but that should explain a bit more.
** They don't, since they are based on true stories and take place in our world, not the one run by David Lynch.

[[WMG: The events Film/MulhollandDrive and Film/LostHighway, as shown to us in the films, are actually Dale Cooper's dreams about each story's murder case.]]