There's precious little footage of David Lynch directing, though there have been articles—like this one, by David Foster Wallace, that followed the director on the set of Lost Highway. 

But a recently surfaced clip from the documentary Lynch: One sees the director discussing his craft and facing depression, and depicts Lynch as he directs what would become one of his most controversial and experimental films of all time: Inland Empire. 

Of his usual process, Lynch says, "Before you start shooting, you have done all that not-knowing, and catching ideas and hooking them together—and going this way and getting that idea and hooking them together, throwing that out and getting new ideas. Then, you have a script and you know what you're going to do."

Not so here, with Inland Empire, where the director says the process is different. "It's scene by scene. Not knowing, but shooting [anyway]."

Inland Empire is almost impossible to summarize, but roughly, it follows Laura Dern's character, Nikki Grace, a Hollywood actress, playing a character called Sue Blue in a film-within-a-film called On High in Blue Tomorrows. As Roger Ebert wrote in a four-star review, "Inland Empire works—and works spectacularly—as a kind of fractal telenovela. Take any moment...and you'll find it repeated throughout the film at greater and lesser degrees of magnification." 

The following dream sequence from Inland Empire is one of the scenes Lynch is shown directing: 

It's clear that Lynch is working on the edge here, yet it's just as clear that he's passionate, and never less than artistically vibrant. It's always fascinating to watch great artists creating, and even more so to watch artists working in uncharted territory.

Source: The Narrative Art