In 1967, when he was only 21, the late David Lynch moved to Philadelphia with his pregnant wife, Peggy. The city would change him forever. He moved into a cheap home in an impoverished neighborhood that was lousy with crime. He also felt he wasn't prepared to be a father, although he did very much love his daughter, Jennifer. In the interview book "Lynch on Lynch," the filmmaker said that Philadelphia was a city of fear. People regularly broke into his house, and his car was stolen. "There was violence and hate and filth," he said. He took a job as an engraver, and his thoughts turned dark.

From 1967 to 1970, Lynch began making his first short films, including "Six Men Getting Sick," and "The Alphabet." The former was to be projected on a specially sculpted screen that Lynch made himself, with six human figures emerging from the wall. At about the same time,...