Most film soundtracks these days are either classical scores with a handful of recurring themes, or collections of radio hits (some of which don't even appear in the affiliated movie!). Alongside these 'typical' film soundtracks, Lost Highway is a real breath of fresh air.
Trent Reznor (of Nine Inch Nails) takes on a similar role that he had on the soundtrack to Oliver Stone's 'Natural Born Killers' - he is the album producer, but also adds snippets from the movie, and makes the tracks seamlessly flow together. In both cases, the album becomes not necessarily a companion to the film anymore, but rather almost a work of art in itself.
The music itself on the Lost Highway soundtrack is amazing and varied. David Lynch has always made excellent choices for his soundtracks, and this is no exception. The album starts and ends with different edits of David Bowie's 'I'm Deranged', one of the most beautiful pieces I have heard from him in a long while. In between these two bookends, though, anything goes, from heavy/industrial rock (Nine Inch Nails, Marilyn Manson, Rammstein) to latin jazz (Antonio Carlos Jobim) to pop/rock (Smashing Pumpkins, Lou Reed). Of course there are also more 'soundtracky' pieces from Barry Adamson, Trent Reznor and Lynch's 'resident composer' Angelo Badalamenti.
The highlights for me are Bowie, Badalamenti and Adamson, but special mention to Rammstein for that low menacing voice, it fits the scene in the film so perfectly. And Nine Inch Nails' 'The Perfect Drug' is an excellent song also.
If you've seen the movie and noticed the music, I probably don't need to convince you, but whether you've seen the movie or not, I assure you this album is well worth a listen.