I really like the way they end the episodes with a live band at the Bang Bang bar. It adds to the atmosphere of a film of TV show to end it with a tune, it always hits you when your still on that buzz from the story.
Chromatics lent themselves well to the dream pop sound of the original Julee Cruise I thought.
The lyrics to The Modern Age always struck me as Lynchian.
Also, Lost Highway has the song 'Eye' by Smashing Pumpkins. It was supposed to be 'Ana' by Pixies but for some reason it had to change (not sure of reason!)