A lot of people do not necessarily understand Lynch, and that's because they are approaching his movies the same way they would a Scorcese or Ron Howard production: expecting a linear narrative to neatly tie things together. One often sees the same with novels, unless you're reading something deliberately post modern or avant garde.
Still, Lynch is fundamentally a poet working in a cinematic medium. Much of contemporary free verse -- even the non-experimental stuff, speaks through a series of images and metaphors. It's the "show, don't tell" aspect on steroids. A contemporary poem stretches down the page on how it lays out it's images within a sequence. Lynch practically does the same in movies. Consider this very short film he did as part of the Lumeire project:
The meaning of the clip is not readily put together the same way Scorcese or Howard would lay something out. Many experience this same sense of confusion through reading poetry, too, especially with work that tends to be more surreal than naturalistic, like, say Garcia Lorca or Pablo Neruda. But then again, Lorca or Neruda are not Hemingway, and nor should the reading experience be expected to be the same, either.