It may chronicle Laura's final days but I think you could place the show at the end as well. Events and visions happen in the movie that we don't see until the series. I always had an idea that maybe the show is in some kind of time loop with events repeating themselves, like maybe the ghosts in the lodge were trying to stop the death of laura palmer and certain events from happening. It seems that the black lodge and the white lodge are at war with each other.

well, it really only works as a sequel, or a a prequel sequel.  It is filmed with the knowledge of the series.

It's events are dependent on events that have already been filmed in the series even if it takes place after.  Just because the events techincially take place before, it is still film and has a history of referencing things that were filmed/aired before it.

The Godfather II goes back in time, but I would never tell someone to watch that first because that's not how it was meant to be seen.

And, God, Twin Peaks is a mystery and the fun was figuring out who killed Laura Palmer.

Well, since there's not really a clear sense of time in the Lodge, it's basically happening all at once. In the real world, however, it's a prequel. And most prequels should be watched in the order of release, not chronology, like Audrey says.

It's a prequel, simple. It's the last days of Laura alive. The series starts when she is found dead. I don't think theres any more to it.

Also if you watch Pulp Fiction, you should have someone edit it so it happens in chronological order.