I assumed it was Leland Palmer very early in the series and concluded this later.
Things that gave me this idea were the pilot episode when Leland receives the call from Sarah I thought 'why does she know that something has happened?'
Also, as mentioned above, the funeral scene where Leland jumps on the coffin, Sarah then says 'Don't ruin this too.' I thought 'something is definately wrong in the Palmer house.'
I think I concluded this thought later when the one-armed man is being interviewed by Cooper, Trueman and Cole. After not giving Gerard his 'medicine' he turns into [or however you wish to interperet this] Mike. Cooper asks where Bob is now and Mike responds about the 'large place occupied by different souls night after night'. This of course is after the scene of Leland and Ben doing the 'Getting To Know You' duet at the Great Northern.
What an ironic choice of song' I thought. Ha ha ha.
Anyone else get similar ideas from these scenes?
"Great. Maybe after the square dance we can all take a hay-ride."