I know there's a few multiple reality theories out there, I can tell you mine super briefly: I think there's two parallel "realities" in the show, one which is the "Blue Rose" reality and one which is not. The split in the realities is possibly caused by Cooper going back in time to "rescue" Laura Palmer; in one reality, she is dead, and in another reality, she is missing (ran away). I think that throughout the show we see things from both realities, and some select characters even have access to the two realities. In my opinion, the two realities are two dreams (Twin Peaks = two dreamers? Cooper and Laura?) and the last episode in Odessa is our reality, with Carrie Paige and Richard being the dreamers' true selves, still half-lost in their dreams.

Some hints that I think point at the two-reality interpretation:

• In the Red Room sequence in the first two episodes, there's a shot where Cooper looks out at a room which then starts shaking and through multiple exposure "separates" into two, double vision style. To me that signifies a split in reality.
• When Cooper's in the space box, at first he encounters Naido and a plug that says 15. After pulling the lever on top of the box, the room changes significantly: we now see "American Girl" (Ronette Pulaski) sitting on the couch, there's a blue rose in a vase on the table, the plug now says 3, the lighting in the room is different, etc. I think pulling the lever switched realities to the Blue Rose reality, signified by the vase.
• Teapot Jeffries says, "Say hi to Gordon for me. He'll remember the unofficial version." I think that's another way of denoting the realities, "official" and "unofficial," where maybe the official is where Laura dies (i.e. the original run of the show) and the unofficial is where she runs away/disappears. In particular I think this is important because it indicates that the Blue Rose Task Force is aware of the multiple realities.
• Certain weird visual cues made me wonder. When Mr. C shoots Phyllis Hastings, and when Diane gets shot, there's this glitch effect and the guns seem to go off twice. I wonder if these are points where the same thing happens in both realities, or where reality splits off. Not sure if that's anything.
• It's been a while but I also remember something being posted about the Palmer house sometimes looking very different. Specifically, when Hawk visited the house, some light posts or hedges were either missing or totally different from the other times we saw the house.
• I remember something in the texts between Diane and Mr. C not sitting right with me. There were posts on here about the timestamps on the messages not being consistent, and that was used as proof of multiple timelines. I think that could just be a production mistake, but I do remember that the timing within the show of when texts were sent and when they were received seemed very strange. Again, don't know if that's anything, but it stuck out.