And this is a fundamental aspect of the show that maybe @Haystack should be warned about: the way the story is told is rather wobbly and convoluted, but if you can receive it as a roller-coaster rather than a train, you can enjoy the wobbliness and convolutedness as being exactly the point.
While I enjoy shows that make me think, I enjoy Twin Peaks as something completely different: a show that makes me not-think, like a koan made for TV.
