an episode toward the end of season 2. Coop has returned from a major police operation. (Possibly the stand off with Renault, i can't recall). He puts his jacket onto the coat hook in his room, turning smiling to himself, maybe deep in thought of pleasant memories(Annie?) he suddenly stops. Mouth turns into a frown. Cut to his bed. That mask...
Interesting you should mention it - actually I wouldn't call it frightening, it's too much of a stage-play effect to be terrifying, but I truly like this moment.
Especially what you call "deep in thought of pleasant memories". Before he enters his room he walks through the corridors of Great Northern in such a relaxed way, whistling a tune which makes a perfect match with the Badalamenti music in the background. I appreciate this moment a lot, also, it comes right after the rather tense finale of the Evelyn/Malcolm trouble, and creates a great counter to that scene where Malcolm pretends to be BOB ;-).
Let's not forget that Coop actually passes by a disguised Earle in the hotel elevator! So we know he has just been there.
But Page Ripped Out, it's nice to see how you mix the events from different episodes :-)))
What you are referring to is Ep.22, so Annie was nowhere to be met in Twin Peaks at that time. While Renault was already dead... he he he :-)
I'm not sure, too, but does Cooper really come into his room all relaxed?... I know there is one moment when he comes into the room relaxed and then something unexpected happens, but also another scene where he notices something is wrong before he opens the door, so takes out a gun and comes in very alarmed. Wasn't the latter right before the Caroline mask?...
Somebody help me out please :-)
P.S. Perhaps some of the newer members don't know yet that this episode is for no good reason considered the worst episode of the series by many fans and related to (with contempt) as the "Diane Keaton episode". THis is of course absurd as the episode is one of the best that happened after Leland's death 
Bobi 1 Kenobi
B. Beware
O. Of
B. BOB