1. Get a wide-lens camera
Wider the better. All the masters use it: Kubrick, Leone, Lynch ...

2. Sound
Choose it wisely. It is, like my friend says, very very very important factor. And way underrated. I found that out while making my own clips. They came alive after sound, so kudos if you manage to do the soundtrack well!
3. Lynch style

Of course NObody can replicate him but there are things that Lynch's work is made up:
- flame, flickering
- smoke
- "lamp" or theatre colours (i.e. quite saturated colours)
- flickering/water/light/mix-up scene
- disturbing scenes (it's usually both violence-scenes and those that just are so out-of-the-place that they are very very disturbing)
- lighting (almost like a theatre lightning)
- animal (occasionally, doesn't need to be real one)
- very strong distracting soundtrack (one of the essentials of Lynch's work)
- - and of course, the storyline is mixed, plot is bizarre and there is no explaining of anything
What came of my Lynchih-thingy? Well, I missed quite much so not very much. I'm way too scared of Lynch's work to even start refining it. There's a filmmaker that's very demonic. Very (and I have no idea why I still keep watching his movies even though I don't like them -ok, I do like the 'art' they are made but not the movies).