Renee Madison (aka Alice Wakefield) is an antagonist in David Lynch's neo-noir psychological horror film "Lost HIghway," she is played both times by Patricia Arquette.  

In the first section of the movie (a little less than half way) she is the wife of saxophonist Fred Madison.  She is portrayed as attractive with long reddish brown hair.  She acts as an almost Highsmithian woman, as it is clear that she maintains several affairs (most notably with Andy and Mr. Eddy/Dick Laurent.)  It is also clear that she remains with Fred only for the financial security.  When she and Fred begin receving mysterious video tapes, which show an intruder breaking into their house and watching them sleep, Renee calls the police.  One night, while making love with Fred, (during which he proves impotent) he sees her face as that of the Mystery Man.  He then proceeds to tell her about a strange dream he had about her.  The next night at a party thrown by her paramour Andy, Fred meets the Mystery Man, and out of fear, leaves.  In the car, he asks her about Andy, buty she answers vaguely.  That night, in a strange sequence, she is seen calling for Fred while in darkness, which mimicks his dream.  The next morning, Fred wakes up alone, only to receive a video tape of himself mutilating Renee's dead body.  

In prison, Fred mysteriously morphs into a much younger man, a mechanic named Peter "Pete" Dayton.  Pete is released, and returns home to his parents.  At the garage he works at, he meets Mr. Eddy, an enigmatic mobster, who reacts violently to minor provocations (the tailgating scene.)  On his next visit, Mr. Eddy brings Alice Wakefield, his moll (also played by Arquette, though this time with short, bleached blonde hair.  Unlike Renee, who dressed darkly, Alice dresses in white, to mimick Cora from "The Postman Always Rings Twice.")  There is an instant attraction between the two, and Alice returns later to seduce Pete.  The two begin a torid affair, and Alice begins behaving in an archetypal femme fatale manor, much more assertive than Renee.  It soon becomes clear that Mr. Eddy suspects the trysts, and indirectly threatens Pete with the help of The Mystery Man.  Alice meets up with Pete, and reveals that Eddy is a savage pimp, who, at gun point forced her to appear in BDSM porno movies.  Alice tells Pete she wants to run away, and the two make plans to rob Andy.  However, the robbery goes wrong, and Andy is accidentally killed.  As Alice (unphased by Pete's accidental killing of her erstwhile friend,) robs his house, Pete notices a framed photo of Mr. Eddy, Andy, Alice and Renee.  Pete asks "are both of them you?"  In answer, Alice points to herself (as if she cannot see Renee) and replies "That's me."  The two go to the desert, where Alice claims she knows a fence.  The two make love, which climaxes when Pete says: "I want you," over and over again.  Alice replies "you'll never have me," before disappearing into the cabin.

Pete morphs back into Fred, who follows Alice into the cabin, but finds not her, but the Mystery Man holding a video camera.  Fred asks where Alice is, but the Mystery Man replies that her name is Renee, before asking Fred what his name is.  Fred follows Renee to the eponymous "Lost Highway Hotel," where she is having a tryst with Mr. Eddy.  After she leaves, Fred kidnaps Eddy, with the help of the Mystery Man, and takes him to the desert.  The Mystery Man shows Eddy a video of himself and Renee as the directors of the BDSM pornos, which climax as snuff films.  The Mystery Man then executes Mr. Eddy by shooting him.  The police then search Andy's apartment, and find the photo, this time containing only Renee, Mr. Eddy and Andy.  Alice is not there.  It is revealed that Mr. Eddy was in fact Dick Laurent.  The film begins with Fred hearing a voice say: "Dick Laurent is Dead," Fred returns home and says that in his own intercom, before fleeing the police, who have come to arrest him for Renee's murder.  He flees off onto the open road, and the film apbruptly ends with Fred begining to morph into Pete again.

It is unclear what the link between Renee and Alice is, but the most probable explanation is that Fred made up "Alice," and "Pete," to live with the guilt of killing his wife.  He could slip into a fantasy whenever the truth came too close.