How smooth is the first derivative (in the distribution sense) of a Lipschitz function? Taking difference quotients and testing against an $L^1$ function, we see that $Df$ is in $L^\infty$. In ${\mathbb R}^1$ the converse is true, thanks to the persistence of the formula

$f(x+h) - f(x) = \int_0^1 f'(x+th) dt~ h$

(Proof: convolve with a mollifier)

However, if $f : {\mathbb R}^n \to {\mathbb R}$ is Lipschitz, then by the same argument, its derivative has a restriction to any line which is in $L^\infty$ of that line (more precisely, the tangential component of the derivative restricts). Ordinarily, one cannot restrict a distribution sensibly to lower dimensional subsets (straight lines requiring even more regularity than curves), or at least if you can because its primitive restricts, I don't know of any reason to expect the restriction to have any semblance of regularity.

For $n > 1$, is there a nice Banach space in which the derivative of a Lipschitz function belongs whose elements are smoother than just $L^\infty$?