What struck me about the camera work in the opening scene was that movies usually make liberal use of pans (camera is in one place and swivels to the side), zooms, and trucks (camera moves to the side)--movement, basically. However, in the first scene of Blue Velvet, starting after the friendly fireman, all the shots are completely stationary, until we start crawling through the grass to the insects, then it begins to dolly (camera physically moves forward) and zoom (camera remains in place, but optically moves forward).
Additionally, before any of this, the shot of the red roses puts them on top of a white fence below a bright blue sky. I think this combination--red, white, and blue--speaks to the more-than-meets-the-eye theme that everyone has mentioned, by evoking such a perfect American image right before the heart attack and the insects and the murder movie. The image is so perfect and so far removed from the rest of the movie and its themes.
The insect thing has been talked to death, but a couple other themes I noticed: at the beginning of the movie, the camera zooms into the disembodied ear, and at the end of the movie, it zooms out of Jeffrey's ear. Also, and maybe this is a stretch, but Dorothy gives Jeffrey oral sex after agitatedly telling him not to look at her. Only moments later, Frank is staring into her vagina and it looks like he might give her oral sex (of course, he punches her in the jaw instead...), but he also screams "Don't you fucking look at me!" I don't know what it means, but I thought it was an interesting duality, both the ears and the self-concious sexual pleasers.