I love David Lynch, and besides Eraserhead and mabye Mulholland Dr., this is my favorite of his. Of course, with its unusual plot, both weird and philosophical, it isn't for everybody, and it definitely isn't for kids.
As a Lynch fan, this is one of my favorite movies, however, you should NOT watch Lost Highway if you are looking for something that follows a fairly straight forward line from A to B to C and so on. This movie goes from 37 to banana to # to F. In other words it does not make total sense and should be regarded as you would more of an art installation. I don't recommend this movie for kid as it is violent and has sex scenes, but also because they probably would not enjoy it at all.