Good thread!
I definetly agree with the comments about the "she's my cousin" being a premonition of Maddy. Yes, the dwarf DID say she was his cousin, but he also said "but doesn't she look exactly like Laura Palmer?" Not that it is Laura Palmer, which Cooper thought. Think about the next episode from the dream.
It is not just based on the dream but is also to do with how Cooper interprets the dream in episode 3 (and later in episode 16.) The whole dream is a clue that Cooper must solve, as he tells us. For example, when "Laura" says "I feel like I know her, but sometimes my arms bend back", which is nothing to do with Maddy as we find out, but to do with the twine and how it was used to bind her wrists. At practically the same time in the Palmer house, Maddy is first arriving for the funeral!
I think these parts of the dream are definetly but a clue for Cooper and a premonition of both the twine and Maddy's arrival the next day. I have had premonition dreams like this before, where you dream everything that will happen soon, the people you will see, etc...and I really beleive that's what Coop was doing.
As for the flying thing - I know you might not agree with this because of the shape, but I have always thought it was meant to be an owl, because Owls are BOB's messengers imo. They seem to be like Lodge Totem animals and symobols and are the bird used most often - the Owl in BOB's head when he is at the foot of Laura's bed, etc. But that is a whole 'nother thread.
"watch out for my cousin.."
