Finally after all the talk about how Alan Wake and Deadly Premonition is mostly inspired by Twin Peaks, I went ahead and bought this:  

http://www.amazon.com/dp/B000UX6THK?tag=tibesti-20 
 
Somehow I never  managed to see any of it..
 
Am I in for a great piece of pop-culture or is it to late for me?

I had the previous DVD release that didn't include the Pilot and a bunch of the audio tracks were messed up so I never made it through the entire thing.
Twin Peaks is pretty much timeless. There's a def 80s vibe to some of the production but it's just so bizarre that avoids dating itself.
Seeing that back then it was basically just the big 3 networks (FOX was still young) and no cable outlet station like FX or AMC, this getting aired just boggles my mind. Even by todays standards it's almost too weird and surreal for US audiences.

I just looked up the air dates from Denmark and it shows that the first episode where shown 02/02-1991
 
 This is just one year after it showed original - In 1991 danish television was crap, so somehow it must have had huge ratings for it to sent into international syndication this early??
 
Most danish people (i talk to) have seen it

I've seen an episode or two on Chiller (or whatever that all-horror cable station was called).  I didn't know what to expect, so I was completely lost when I was watching it.

I've been watching it lately (for the same reasons mostly - Alan Wake and Deadly Premonition) and you can see the links between the games and the series, more so in Deadly Premonition to be honest.
 
The series on it's own is pretty good though. Some proper laugh out loud moments and lots of peering at the TV looking perplexed!

Yeah, the references in the two games are very obvious, and Jeff also references it a lot on the ER.. 
 
I would definitely advise you to go watch it, it's quite awesome though you'll sometimes stare at the screen in a mix of disbelief and a "what the hell just happened" feeling, that for me just made it more fun to watch.