David Lynch/WMG

Grand Unifying Theory of David Lynch
Everything begins with Eraserhead. Henry Spencer live 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  in a moment of despair and madness, and having an horrible nightmare , 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 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 Blue Velvet, 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 Twin Peaks, investigating the murder of Laura Palmer. .

We know from the final episode of Twin Peaks that Bob can reverse time  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   is that the dwarf has powers over time as well, and can stop it or slow it down.

Mulholland Drive : The link here is Mister Roque. It is actually the Little Man From Another Place. Since Bob's out having fun, 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. The first part of the movie is the reality, and the other occurs in the blue box dimension.

Lost Highway occurs in the same universe, as stated by Word of God. Fred Madison makes a deal with "the mystery man" someone who can bend time to his will too. Thus they have met before in the mystery man's past and Bill's future. Thus  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, and the latter proceed to cancelling all of the changes he's made to the timeline, hence the end.

This is how 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.