When we discussed Blue Velvet in my film studies class, my professor remarked that it shared a striking number of similarities with After Hours, a Martin Scorsese film released around the same time. It finally came up on Netflix, and I watched it (somewhat distractedly) while I packed up what remained of my life in Boston.
I guess they both share the theme of voyeurism, and both share a really dark worldview, but other than that, I wouldn't really say that they are all that similar. I did find After Hours pretty interesting, though. It's a comedy, but a comedy loosely defined. It's unsettling in a way similar to that of Blue Velvet, except Blue Velvet wasn't funny. Blue Velvet said, "Laugh at me, and Frank will fuck you up." After Hours says, "Have a crazy night!" It's got a lot of references (obvious and subtle) to The Wizard of Oz, including the overall structure of the film with its dreamlike quality.
All in all, a worthwhile rental. But it's Scorsese, and even the lesser entries in his filmography have some value.