Being from the Spokane area, where in fact David Lynch had grown up, I like to think the place where I reside is ground zero for weirdness. In fact, the town of Lumberton, in Blue Velvet, was alleged to be loosely based on Spokane. The town of Twin Peaks, while filmed in Snoqualmie Falls on the west side of Washington state, in the old and new television series, is taking place in north east Washington, near the Canadian border, a bit closer to Spokane.
So, yeah, I love everything Lynch has done, especially Blue Velvet, Eraserhead, Wild At Heart, and Lost Highway just to name a few.
As for the OP's question: the show is a surreal drama with elements of humor and horror.
_________________
-Bill, otherwise known as Kraichgauer