Eraserhead has been my favourite movie for over five years now. Definitely changed my life too. Never seen a nightmare portrayed more devilishly on screen before or since (save the Japanese Jigoku, but that's much less surreal).
None of his other movies come close to it's greatness, but Elephant Man and Inland Empire are his next two gems.
I would say in order my favorites:
4.)The Elephant Man
7.)Wild At Heart
not huge on the other two but I loved the Twin Peaks show