Ok, well maybe not the first time.....but I bought the DVD when back when it was only on sale at DavidLynch.com, and only really watched it once. I'd forgotten most of the film.
But the local indie theater just did a midnight screening of what they advertised as a "new, restored 35mm print" and it was pretty awesome. I'm not sure if it was the print or an intentional act of the projectionist, but the volume was cranked to 11. That made it a totally intense, disturbing experience to have all the white noise and wailing and creaking at full volume. If there is a restored print making the rounds to theaters, I'd advise everyone to go have a look. I was kinda iffy on coughing up $10 to go see a movie I already paid $40-50 dollars for on DVD, but it was totally worth it.