Wild At Heart is a fairy tale darker than anything the Brothers Grimm ever concocted. It takes place in a world where incest and murder are part of daily life, and most people you meet are probably outlaws or sickos of some description. David Lynch doesn't have any great love for the everyman, as evidenced by what befalls poor old Harry Dean Stanton. Until you've been through the fire, you haven't earned the right to trust.
Lula and Sailor survive balanced in the eye of the firestorm. They've come through Hell to find each other and they're the closest thing the story has to angels. They are tethered by the story's central mystery, and trying to escape their pasts and the things they know. Forgetting is their Garden of Eden and their Emerald City.
What they're running from is the specter of Lula's daddy and the fire that killed him. Sailor was the driver for the gang of thugs hired to arrange the arson. They were employed by Lula's crazy mother and Lula, on some level, has always known this. Watch carefully and you might get the impression that this retribution wasn't because Lula's mama is psychotic and evil (she is), but to avenge her baby. You might even conclude that Marietta is not taking for revenge for what Daddy's partner, Uncle Pooch, did, but what Daddy himself did.
What the lovers discover in trying to make their escape is that the evil they're running from is a disease that's infected the whole world. Beyond Marietta's attempts to silence Sailor, evil pursues them indirectly, taking the form of a fatal car crash or a bar fight.
Marietta is unsettlingly human, following a road paved with silver dollars that were only meant to buy back her daughter's love. A wicked witch only wicked for trying to bend evil's will to her own. Santos is the real Devil, pulling the strings of the lesser demons in New Orleans and the desert. Marietta only provides the idle hands.
In the end, they don't escape. Sailor goes to prison again.
The fairy tale only ends when Sailor is released. At the point of giving up, he finally knows the magic words, and he sings them. The world doesn't change, but he and Lula do. Instead of forgetting, they get to start over, knowing everything.