In the final scene, it is revealed that Cooper has altered reality, and Twin Peaks as we know it no longer exists. Laura was never killed, and indeed perhaps her and her entire family never existed. The woman Cooper has brought to meet the non-existent Sarah Palmer screams in horror because the fact that she has murdered her partner sinks in. Cooper is rudderless in a world he has never been to, and all is now mystery.
In the final scene, it is revealed that Mrs. Chalfont/Tremond is actually a manifestation of Baba Yaga. She is the witch behind the curtains of reality, and her house travels around on chicken legs manifesting as a suburban home with a wonky fan, a trailer or a motel. No one will learn her true name, be it Sarah, Laura, Diane, Annie, Linda or Judy.
In the final scene, it is revealed that you never can go home again, in spite of what some wizards/magicians may claim. Dorothy/Dale may get a glimpse of the ruby slippers every once in a while, but it is a LONG trip back to Kansas/Twin Peaks.
In the final scene, it is revealed... "is" is an over-rated word. Enjoy the mysteries, and wondering about them.
Have you ever experienced such a rich and multi-layered show in your life? Endless mysteries with endless interpretations. I look forward to watching it again. Thanks to Lynch and Frost for this wonderful (in more than one sense of the word) gift of a show.