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.