Another example is David Fincher's 1997 movie The Game.
Many directors tried this, yet none pulled it off like David Lynch. IMHO.
Just my 2 cents. I'm a movie layman.
I agree that Mulholland Drive is art, though I don't think it's particularly good art and I don't like it much. What did you think of "David Lynch Interviews a Monkey?" AKA "What Did Jack Do?"
And allegory is a pretty cheap trick in art. You don't need that either...
You wouldn't ask what an instrumental music piece "is about". Why ask it for a movie?
I think requiring each viewer to bring their own brilliance to the reading of his films is Lynch's aim.
I realize I'm arguing against a straw-man here. The point is: A movie is not just its story.
7 months ago I would had agreed with you, but after watching (and enjoying!) this 4:30hs pretty plausible imo explanation of what Twin Peaks is about [1], I'm open to believe that other works of Lynch may actually have some idea or meaning behind :-)
I think it says far more about people, and what they are willing to accept as profound (or unwilling to discard as meaningless), than about David Lynch.
Must watch it again to see if it's better now that I've watched clever cinema (gentle /s implied).