I watched episode 29 last night again and I have always felt this part was specifically reworked as the finale in the light of the show’s cancellation. The uncertainties about the fate of key cast members like Ben and Audrey Horne has always felt like a bit of a v-sign to the network for pulling the plug and Lynch and co. must have anticipated the reaction from the dedicated fans. I remember when “Fire Walk With Me” was in production, Lynch referred to it as one of three films that he’d make to fully conclude the world of Twin Peaks, including what happens to Cooper. However, after the reaction to the first film (many disliking its darkness and lack of familiar, funnier cast members) the others didn’t come to pass.
If you don’t watch “Fire Walk With Me” as the final episode to close the series (as I do) then I still feel that episode 29 stands up well as a conclusion. Basically, Cooper gives up his soul so that Annie can leave the lodge and live, a sacrificial act to atone for his short-comings regarding Caroline’s death. The End. Cooper was, after all, the pivotal character. When I watch the black lodge sequence I am constantly reminded of the last episode of “The Prisoner” (also prematurely cancelled in it's day) and I can’t help but think that Lynch is somewhat paying homage to that seminal TV show.