Bill Pullman does a great job in Act 1. Without much dialog, he really conveys the pain that's developing in his head, real and psychological. He's starting to experience schizophrenia and it seems to be brought on by a brain tumor, because by the time of his arrest, he has head pain and his physical balance is impaired. His jealousy is done well.
The story takes a dive in Act 2 because of the shift in protagonist. It takes awhile to identify with him, as if the movie is starting over, and the actor (Balthazar Getty) seems to have less to work with in the screenplay and also less ability to fill in the character.
P. Arquette's character comes across as distant, reserved and flat, or too one-dimensional, or too much a mechanical-femme fatale. That part of the story is conventional.
Lynch's contrivance of the Mystery Man (Robert Blake) works.
Overall, it's not especially moving or as someone wrote "What does it add up to?"
But the pieces are often intriguing.