I've heard of Wings of Desire. It's a German film about angels isn't it?
That's the one! Featuring a live performance by Nick Cave and the Bad Seeds, and Peter Falk appearing as Peter Falk! Sort of remade as City of Angels, which I enjoyed more than I expected I would. Great film, haunting and romantic, but again, not really in a Lynch sort of way.
While we're on german filmmakers, Herzog (another favorite of mine) also has a distinct and very personal style, but Heart of Glass does approach Lynch in terms of tone. He had the cast hypnotized before every take. Add in a soundtrack by Popol Vuh and you've got a very dreamlike movie.