Eraserhead is a good introduction if you like "enigma" films with lot of symbology hiding its meaning in a puzzle way.
Mullholand drive is a somewhat easy to watch film compared to Eraserhead, and is one of those movies you want to rewatch many times, because in each view you get a different glimpse of its enigma, much like Donnie Darko in a way.
Haven't watched Blue Velvet yet.