I can think of four:
Who's Lila? (PC), a very surreal, at times highly unsettling... Point & Click (?) game with very creative gameplay elements that absolutely nails the creepier aspects of Lynchian atmosphere.
Highly recommend this one.
Mizzurna Falls (PSX), a very Twin Peaks-ian, Deadly Premonition-ish open world mystery adventure game that gets more surreal the farther into it you get. This one is less on the creepy side and more on the "people are fascinating and weird" side of the Lynch spectrum.
Virginia (PS4, XBone, PC), a minimalist... mystery (?)... walking sim (?)... I'm not sure what to call it. It's a very linear, cinematically framed first-person exploration game where you play an FBI agent investigating a series of mysterious events in a small town.
Wasn't my kind of thing, but it definitely tries to evoke Lynch vibes.
Kentucky Route Zero (PC)... hoo boy, this one would require quite a bit more space to thoroughly expain... it's another Point & Click with a very dreamlike atmosphere and another one that's fascinated by human nature.
This one borders on being a full-on art project. Its presentation is very theatrical, the game wants you to take your time with it and it's definitely not for everyone and even then not every part of it lands, but the parts that do definitely stick in your memory.