I was out of town, just got to see this last night. I'll have more thoughts later, but for now...
As with all later Lynch, there really is a coherent big picture — it just takes some time to put together. Worry not, Sleepless! I promise there is a lot of meaning here.
First, on a practical level. We learned that the overarching "blue sky" mission of the Blue Rose Taskforce was to find and potentially defeat Judy (Jow-day, Mother, Experiment, horned entity that vomits evil onto the world, "a force of extreme negativity"). Since Cooper was on board with that, it's probably the main reason he went into the Black Lodge.
People are hypothesizing, roughly, that it went like this. The White Lodge sent Laura in the golden orb to confront or possibly defeat Bob and/or Judy. We were confused by that at the time (how is Laura a powerful force for good?), but now it makes total sense. You can argue whether this was successful. Bob appeared to be aware of this threat, because he attacked and corrupted and weakened Laura as quickly as possible, via her father, through sexual trauma. (Sexual assault and men abusing women then becomes a theme of Twin Peaks.) As a result of that, Bob is successful — Laura is barely in a position to live a functional life, let alone confront evil entities.
There's a silver lining. Laura's trauma and resulting death set off a chain of events that would eventually lead to Bob's defeat. Judy survives, though — which feels right, narratively.
The Search for the Zone includes this little tidbit: "Why Frequencies are the Key to Understanding Parallel Universes and Time Travel." Indeed, in this finale we saw BOTH. We saw Cooper go back in time to save Laura and prevent her death. But in doing that, he created a fork — a parallel universe. Which renders this effort basically futile. Remember what Twin Peaks is all about: garmonbozia, pain and sorrow. Good people will try to prevent it, fix it, but they will often fail. Just as Cooper did here in spectacular fashion.
I think the scene at the restaurant, where Cooper goes white knight, is an important clue. Look how proud and noble Cooper is there. He is completely in that mode. And it seems kind of ridiculous, because it is.
It's also a potent meta commentary on Twin Peaks itself, Twin Peaks nostalgia, and nostalgia in general. Cooper imagines a lovely, emotional reunion between Laura and her mother at that house. Watch that sinking feeling as he realizes it's not going to happen. He seems so pathetic there. He wants to fix Laura and prevent her pain and sorrow — instead, he takes alternate-Laura to the only place in the world where her pain and sorrow can be fully activated, ending in that epic scream.
