Possibly the best magazine under the sun is Wrapped in Plastic, a magazine devoted to Twin Peaks (and X-Files oddly) but which covers all of Lynch's work and TP actors' and writers' work also.
The features are informative and well written and very in depth. It's all in black and white, with small print and a small amount of pictures, but it really is a hundred times better than the mags I read regularly (SFX and Starburst for example). I only have a few issues ('cause my local Forbidden Planet store only gets 'em occasionally) and only three of its nearly-as-good sister magazine: Spectrum (which I bought for the American Gothic and Buffy features).
Since I don't get them often, I unfortunately can't report on what they're running. But I'll include anything interesting from back issues (maybe). Still, it's a great magazine, extremely highly reccommended. I even had a letter printed in Issue #35 comparing Lost Highway to David Cronenberg's Naked Lunch (both wonderful movies, BTW). Thanks to Jason Allan Haase for sending me a copy so I could see it for myself!
The latest issue reviews The Straight Story, which I can't wait for. There's another one due any time now.