Reddit reviews A Supposedly Fun Thing I'll Never Do Again: Essays and Arguments

1995, mostly about lost highway. http://www.lynchnet.com/lh/lhpremiere.html
also found in A Supposedly Fun Thing I'll Never Do Again
https://www.amazon.com/Supposedly-Fun-Thing-Never-Again/dp/0316925284/
an excellent read throughout that gets to the core of how lynch works

It's not a book. This is an excerpt from a commencement speech by David Foster Wallace at Kenyon College. If you like this, you should definitely check out the full speech or check out one of his three collection of essays. He's also got a number of short story collections, including a particularly famous work Brief Interviews with Hideous Men. He's probably most famous for Infinite Jest, a novel well over a thousand pages in length.

David foster Wallace discusses Lynch (with a large focus on Lost Highway) at length in this fine book. http://www.amazon.com/gp/aw/d/0316925284?pc_redir=1404145978&robot_redir=1

I thoroughly recommend it.

Dofleini mentions that "what was on [the] desk at the moment."

Broom is much less demanding time-wise, although I agree with your sentiments... Not only is it much less polished than his later work, I think it's also less rewarding. It almost seems as though he was warming up for Jest... I enjoyed it, but I'm glad I read it after Jest & Interviews. For me, it falls into the same category as the early Dickens novels: entertaining in their own right, but more interesting as a window into the foundation for more developed later work.

I'd recommend Brief Interviews or A Supposedly Fun Thing as entry points for Wallace, followed by Infinite Jest if you like what you've read.

A Supposedly Fun Thing I'll Never Do Again by DFW is pretty entertaining, and according to Amazon has 368 pages.

I like A Supposedly Fun Thing I'll Never Do Again by DFW, but haven't read Consider the Lobster.

Echoes Down the Corridor by Arthur Miller - good writing on a variety of issues

The Bullfighter Checks Her Makeup by Susan Orlean - portraits of people she interviewed, including a group of teenage Hawaiian surfer girls that made a particularly memorable essay.

Essays of E.B. White - excellent observations and thoughts and insights.

Palm Sunday by Kurt Vonnegut - an "autobiographical collage" so being a fan beforehand helps, but his thoughts are on a range of subjects, not just his own personal history.

Also these two lists look promising.

If you liked Consider the Lobster, then you will also very probably like A Supposedly Fun Thing I'll Never Do Again and Both Flesh and Not.

Edited to add that Everything and More is also very good, though it's not a collection of essays.