So a whole hell of a lot to dissect in these final two episodes. After
thinking on it for some 12 hours, I think I have some ideas of what is
going on. In some ways it’s sort of like Quantum Leap. Here’s my brief
and simplified take on what happened, though a complete rewatch of
season 3 will definitely help in piecing together all the little nuances
one misses.

Simply, Cooper is trying to find and stop the pure evil entity known as
Judy. In that mission he also wants to save Laura Palmer who, based on
episode 8, is the opposite of Judy. He manages to do that based on the
footage of Laura’s body wrapped in plastic disappearing, and when Pete
goes out to fish her body is no where to be found. That’s in the Twin
Peaks world we’ve known for 25+ years.

But in so doing this, Cooper also changes the present and/or future.

So what I think is going on is Cooper is traveling between dimensions
trying to find the entity known as Judy. And that’s how the series ends,
sort of like Quantum Leap. Cooper is like Sam Beckett in that he’s
going to continue to jump between worlds (or time, in the case of
Quantum Leap), trying to right what once went wrong.