Hi, long time lurker in here, just wanted to give my two cents about the finale. 

I read alot of theories and guesses on what actually happened in the finale. The "Laura/Cooper" dreamt the whole thing actually seemed to make the most sense, so i rewatched the finale to make sure it worked

One scene in particular is what i was guessing proved that cooper was dreaming was when he sees Naido and we saw Coopers face like he's watching the whole scene playing out, thus reinforcing this is indeed Cooper dreaming, and watching the scenes unfold

I actually changed my mind, so here's my take on all this. I don't believe this is anyone's dream. I'm very much convinced that Dale Cooper is watching indeed all this play out from the lodge/red room, like he never actually left it completely, and he's watching this Cooper  more like controling him like some kind of avatar, like for example Diane  was kind of watching her tulpa act from the sheriff station, but obviously not controlling her. We have to remember that this version of Cooper was a dazzled near brain dead Dougie first, that could watch One Armed Man signals and comunicate with him when he woke up. So i guess he was kind of a Tulpa that was kind of messed up for some reason when he was brought into the world. Finally when Cooper entered the hotel room after he said fairwell to his friends, it was him returning to the Lodge/red room/other dimensions and talk to Phillip Jeffries.

Then when we see Cooper leaving the lodge and returning to Diane, we NOW finally see Cooper indeed fully leaving the lodge. They meet at night, maybe the night after the events at the sheriff station took place. I think that since Diane has been trapped in the lodge as naido, it's possible this two had some kind of contact those 25 years. And now they are free.

So even if there's some things that may not be right about this until now, the main point is that Cooper WAS NOT dreaming and i'm fully convinced that it's true. It was all real, and when Cooper leaves the red room, he meets the real Diane.

So what happened with Laura Palmer? I think that Dale Cooper did indeed change the past. He rescued Laura, and she was not murdered. But when he was taking her to the white lodge (Home), she was taken again. But this time she was taken to another dimension, by Judy herself. She now works at Judy's and she has a fcked up life.

When Cooper and Diane are about to cross the 430 mile they know something is going to change. And it does. In this dimension, Cooper is Richard still an fbi agent, and Diane is Linda. The fireman told Cooper to remember Richard and Linda, so that he wouldn't forget who he really is, but that evil dimension messes up with the minds, so Diane forgets who she really is, Laura forgets who she really is, and even Cooper is not fully himself, he kind has traces of Evil Coop, Good Coop and even Dougie.  But he still knows the quest, that is to take Laura Palmer "home".

Thus he takes her "home". But this "home" where he takes her, isn't really the "home" he should be taking her. Remember, he was trying to get her to the white lodge, in the fire walk with me time period, but here his mind is confused so he's trying to take her to her home in twin peaks. Not a good idea. The lady that opens the house actually has the same name of one of the evil spirits of the lodge in fire walk with me. I guess it's safe to say that that house has always been a vessel for evil, so when he takes her there, none of it makes sense to anyone.  

But then, Dale Cooper asks what year is this, and this somehow triggers Laura to start remembering. And we hear "Laura", maybe it was in her head remembering, and she starts screaming and the house starts flashing like an evil presence that knows that's been discovered.

So very much like this whole season was about dougie remembering he is Dale Cooper, i believe that this last hour played on similar themes, it was about making Laura remembering she's Laura, in a kind of evil dimension or whatever you wanna call it, that messes with peoples minds: Diane forgets who she is, and even Cooper is not fully himself, but with the words of the Fireman he still manages to have his own identity and quest in his mind. 

So where does this leave us? Actually it could be quite simple as to Cooper when he entered the dimension with Diane, if he knew how he could get out or not. My best guess is when Laura screamed she remembered who she is, and probably Cooper also cleared is mind on where he actually is. So if he was a back door exit all is well, if not, well they are probably stuck. So it's open ended. I'm guessing they could just make a whole new season about the two of them trying to find a backdoor exit, but as we know there won't be a new season so it's up for each one to think if those two would be able to pull it of or not.

This is my take on it, please be gentle.