Well, we finally heard it, and just as Laura Palmer slipped from Cooper's grasp. Is this the ultimate paradox... A skipping record?
It's the sound of the final groove, when the side is over. Think it means the restarting of the loop.
I felt all along that, with it being one of the very first things we hear in the first episode, the reappearance of this sound would mark one of the most important moments in the entire series, and I believe this is true. Everything Cooper worked toward and all of his effort to save Laura, was basically derailed at this one moment. As he leads her toward home she is once again snatched away from him. "It is in our house now," indeed. The great circle of Samsara is essentially a scratched record.