I both loved, and was frustrated in equal measure, by the way this series developed and ended. I consider the town of Twin Peaks to be a character in its own right and I liked the way that the series ultimately focused on Copper's escape from the lodge while dipping in and out of the town, seeing vignettes of life there but not going into too much detail as they were really superfluous to the main plot. Twin Peaks is obviously a town with evil lurking under the surface and it made clear even before overtly stated ("the past dictates the future") that the evil will keep resurfacing and history will repeat itself ("it is happening again").
Take Becky, for example. She was very much created in the Laura Palmer mould and there could so easily have been a whole series built around her character, her dark side, secrets and murder (yes, I do believe Steven shot her, and himself) and it would have been fascinating to see this play out and the relationship and history between Bobby and Shelley explored in more detail. Instead we dipped in and out of their story and were left to piece things together. There is this sense that so many things were happening in Twin Peaks (also the weird entity in the car when the diner window was shot, whatever was going on with Billy, James' fledgling relationship with Renee and so many more) that it almost grounds it as a "real" place and not just existing for the purpose of a central plot. This was a brave and brilliant decision.
But as much as I loved the framing of the series in this way, I can't help but also be frustrated at the lack of resolution and answers to some of the things we saw. Especially when they are connected in some way to the central story. The things still keeping me awake at night are:
Audrey. We found out that she and the Coopleganger were Richard's parents and are led to believe this is the result of the Coopleganger's visit while she was comatose. Lynch obviously believes that's all we need to know but I still want a resolution to the end of ep.16. Where is the real Audrey. How much of what was seen at the Roadhouse was in her head. Is she just walking from the coma now after 25 years or has she been institutionalised?
Sarah Palmer. WTF??? Are we meant to believe that she was the real evil entity in the Palmer household all along. Was she controlling BOB/Leyland as a result of possession by the bug (if indeed it was the sleeping Sarah in ep.8)? Why was she stabbing the picture of Laura at the moment Cooper "saved" her if not to ensure her destruction? Or, is Sarah actually Laura? Lodge Laura is the only other entity we saw open her face in the same way before she disappeared. Could she somehow have swapped places with her mother - is this what was alluded to in the sequence with Sarah acting so oddly at the supermarket, followed by Hawk's visit and the weird sounds coming from the house. Did Laura find her way home but took over her mother's body and then when Coop went back in time to the FWWM sequence to save her, she flipped out as she was being pulled back out of this new world she had created for herself? Which is why she ended up as Carrie and then ultimately, at the very end, remembered everything, the fact that she never truly existed but was created in the lodge and inhabited so many different bodies (Laura, Sarah, Carrie) but has never been able to find peace?
Annie: How is she??? 
But seriously, what was her ultimate fate and why was she whitewashed from the Secret History. Related to this, I just can't get on board with the Cooper/Diane love affair. There was never any hint in the original series that their relationship was more than admin based and if she was the true love of his life, why was he flirting with Audrey, still hung up on Caroline and then besotted with Annie?
I don't really care about the other loose ends as I believe they were just vignettes of what else was happening in the town but oh for one more episode to give a glimpse of clarity to these issues...