Spicediver's version is the best ... if you can find it.
The steel box / director's cut is the 2nd best. Lastly is the theatrical version which is the worst for the average person but pretty good if you have read the book once or twice.
There's another version: the one that played on SciFi channel with significantly more cuts (to make room for more commercials).
That's actually my favorite version. A lot of dialogue is cut, and it ends up better for it. It's more of a "mood" than anything else, and even though it's more of a dream than a story, it makes more sense than most of Lynch's work; your mind effectively fills in the gaps, whether you've read the books or not. I haven't seen the fan edit though.
I have a version that has an Alan Smithee directorial credit with the narrated pre history. I believe it is a Japanese laserdisc bootleg version that I got. That's my personal favorite.
Spicediver's version is the best ... if you can find it. The steel box / director's cut is the 2nd best. Lastly is the theatrical version which is the worst for the average person but pretty good if you have read the book once or twice.