My mind and my brain... what the hell just happened? That episode is probably the strangest thing I have ever watched in my entire life... and my hope for a happy ending has been greatly destroyed. Anyone else watched through Twin Peaks and have any views on this?

I watch Twin Peaks about once every year or so, and yeah that last episode is majorly fucked, up, but I'm kind of glad that it is, since there were so much weird metaphorical, symbolic madnes in that show that got a bit lost in the second season, so I'm glad it went out in the way Frost and Lynch would like. I'm still holding out some hope for a movie sequel at some point; on the point of movies, the I really enjoyed the Twin Peaks movie which is wildly fucked up way more than the show ever could be.

Glad you stuck it out through the rough patch in series 2 before things got nuts. It's a great show.

@Mysterysheep
 It was incredible to watch and I know what you mean about that rough patch, but I would recommend it to anyone.

Now check out some of Lynch's other work, if you have not already. Blue Velvet is a nice place to start, which also stars Kyle MacLachlan.

I found the last half of the episode to be extremely unsettling, but amazing when all was through.  It just had a "this is coming to an end" vibe, and the Jimmy Scott song just put you in this melancholy mood.   I was hoping for another movie sequel, but since Bob (Frank Silva) died a long time ago, I don't know how they could handle the new Cooper angle.  No one would be able to bring that character to life like he did.
 
I really enjoyed Fire Walk With Me, but it seems people give it flack because it's a lot different than the series.
 
Final episode spoilers, i guess.
 
 

HOW'S ANNIE? HOW'S ANNIE? HOW'S ANNIE? 
 
Also, I loved season 2.

I kinda wanna write my own ending to it just for a little more closure... Like the possessed Dale is confronted by Harry in his hotel room but manages to escape. 
Some time later he confront Annie, in hospital or elsewhere depending on how much time has passed and Bob tries to kill her. Instead of being afraid Annie believes in
Dale and the love they shared with each other. The power of the White Lodge and that of love removes Bob from Dale who is returned to normal at which point all is as it
should be.