David Lynch Trailers (Misc. Oddities) has a incredible list of links of videos about David Lynch works collected by a wonderful soul. What you can find there: links of sites, trailers, commercials, interviews, short-films, and much more stuff. I'm sure that who posted that is a huge fan of this master. And yes, Lynch is one of my favourites.

BTW, the links for his first short-films seems that are no more available. I tried and they didn't work with me. Is just me? I will sit and cry, or can anybody help me with links that work?

While I'm crying take a look also on The Black Lodge a multimedia project. The idea of it is recreated the word of characters, stories, places, symbols of David Lynch's films, his visions and ideas. Very interesting, but didn't work well with Firefox (I had to use the ugly IE). (via the fantastic o zombie comeu o meu blog)