I absolutely loved the Cage and Bomb theory! (the main article not the post added details)
https://www.waggish.org/2017/t win-peaks-finale/

I find that it makes a lot of sense...but mostly what I find interesting is that it is perfectly Lynchian (with a sprinkle of Frost for common sense) 

the theory here for those who haven't read it is that the Odessa world is a pocketworld, a cage for Judy to be trapped by the white lodge and destroyed (also makes sense why we are always reminded that the giant knows whats going on the whole time and he's working on it helped by many other entities in a very selfless way) it makes sense why Coop is not Coop anymore and Laura also becomes someone else...they are all working together towards something bigger than "who" they are, they are serving a bigger purpose...

But while "waggish" says that the pocketworld of a different dimension probably only exists in the limits of Odessa, the road and twin peaks I believe someone else's theory here comes to play: THIS IS OUR WORLD! 

The pocketworld other dimension the giant sends Judy to and that gets destroyed by Laura when she finally "detonates" is OUR world. Because after all....WE are the dreamers (our dimension of the world) who live inside the dream (the cage). 

"waggish" puts it perfectly when he says "this world is sacrificed to save the other world": the other real dimension where Laura survives and Judy is destroyed and life goes on.

But in our world we are not that lucky. Why? Because Lynch is teaching us a lesson: for the greater good we have to sacrifice ourselves. Sometimes the best option is the hardest one. We will lose Diane, we will lose Laura and obviously we will lose ourselves (Coop). Destroying evil requires a very high price to pay.

the fireman might as well be the God all religions pray to.... he is indifferent whether we die or survive or why we suffer as long as evil is destroyed and good prevails he doesn't care who gets hurt, the job needs to be done, and Coop knows that. That dark sad painful "reality" is our reality we just need to "wake up" and see it.