Mulholland Drive
Someone else mentioned that this film is at times a bit reminiscent of Almodovar. I have to agree... It especially brings to mind All About My Mother, which has more elements of drama. Lucrecia Martel's The Holy Girl and La Ciénaga (The Swamp) (one of my all-time favorite films) felt more confident and 100% original.
In some ways, The Headless Woman also reminds me a bit of Mulholland Drive, even if the similarities are few. Both stories start with a car accident (which may have also resulted in a state of amnesia in The Headless Woman). Both films are somewhat surreal and involve unresolved mysteries. Even the protagonist's change of hair color plays a role in both films. I wonder to what extent Lucrecia Martel was consciously influenced by David Lynch.
Anyway, I think of her as a great filmmaker and look forward to seeing her next work!