Q: Where was Twin Peaks filmed?
A: Seattle area and California.
Almost everything from the Twin Peaks Pilot was filmed in the Seattle area (Fall City, North Bend, Seattle, Carnation, Everett, Bainbridge Island, and the surrounding area).
Everything after the pilot (except for a few exterior shots) was filmed in and around Hollywood or on a soundstage in Hollywood. You'll notice that in episode 1 of the series, there is a scene of some work being done to the sheriff station in order to make the lobby bigger - this was a way of keeping some continuity from the "real" location to the Hollywood set. Many of the exterior shots from the series took place around the LA area, including one that was also used in the ABC series Wonder Years with Fred Savage (Bob Lydecker's Vet Office and the Convenience Store scene, to be specific).
Fire Walk With Me was filmed in the Seattle area (like the pilot) and also on a soundstage in Hollywood.
The Salish Lodge was the exterior of the Great Northern Hotel, but the interior from the pilot was filmed on Bainbridge Island at the Kiana Lodge. This was also the interior and exterior shots of Pete and Catherine's home from the pilot. The exterior of the Roadhouse was filmed in Fall City, but the interior was filmed in a bar in downtown Seattle. Laura's and Donna's homes were filmed in a couple of locations in the Seattle area (depending on the exterior shot used--they are different: the houses used for the exteriors in FWWM and the pilot episode -and even, actually, the floorplan of the Palmer house- are different from those used for the series run).
If you are wondering where a specific house is located, please note that we do not release (and sometimes don't know) addresses to filming locations at private residences! (How would you like to have a bunch of TP nuts gawking at your house at all hours of the day and night?)