Yeah, PD, don't do Eraserhead first. While it will be interesting to see what you think after you have experienced more nuanced Lynch, it would not be a good first pick. DO BLUE VELVET FIRST. You can rent BV in like any movie store.
Also, when you do watch Eraserhead, get the DVD. Moreso than any other Lynch movies, it is very very visual, and watching it in low rez is not really a viable option. It is a feast for the eyes movie.