Believe that in order for the soul to reach the White Lodge, they must face the Black Lodge and basically try to not let their eternal soul be destroyed.

Is all of Twin Peaks Dale Cooper's soul trial?

If you think of Coop's personality from S1, and remember his history with Wyndham Earl and the love triangle there. Maybe Dale was murdered by Wyndham when he tried to save Caroline. So his greatest fear that must be faced in the Lodge is not being able to save his wife. And that has become saving Laura, who symbolizes Caroline.

Maybe it's the final dream. Where our karma plays out before us.