Just kidding With the tittle.
Well now, the only gripe i have with the series is that it has been written by two different inviduals, that seem to have a whole different vision with the show, but that also gives it more variety. The more concrete way to understand this series would be taking Bob, and the other "spirits" as actual spirits that work on different dimensions and possess poor inviduals for theyr goals, and such still somehow connected to our world.

Myself i dislike such ideas, and as seen Mulholland Drive by Davids Lynch i imagine other interpretion to be as plausible, even if some of Mark Frosts soul disagrees. Well first of all, i warn that this will be very hard to explain and i more than ask, i demand questions as im sure to do mistakes with this for these fragments of ideas that i have in my mind are seperately, but still as together making the overview and it will be hard to connect all the points which i will be trying now.
LYNCHIANITY 
Alright, first of all i will concentrate on Cooper, then i will touch the spirits a little and for end im gonna try inflict my idea, which im not sure if will manage to do that one. Now Cooper and his dreams and that infamous techinuque. Well to set up how i interpret it, i will have to first explain how i interpret Lynch's surreal scenes ( LYNCHIANITY) Now we all remember when Bob and his friend are in the jail , and they start grr'ing at James, this as easy example, doesnt seem plausible or aunthentic, the thing is to try to understand it metaphoracly which it can be seen as emotion brough to the screen in concrete way. So as James and his friend are feeling pure animalistic rage, Lynch brings this to us by having them concretly behaving in that animalistic way.
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Now Coopers rock throwing at bottles, can be interpreted as his thought process when he thinks when going the basic information he has on the most likely suspects and which he personally our smart agent finds the most suspectfull. Coopers dream, should be seen as simply his subconcious working through the case, (which Frost disagrees with.) The series style only transforms these things to this absurd form how they are, Lynch perversion to midgets and all such other things that make the show stand from the rest of tv. Those only reflect Lynche's personality, or basicly they can be seen as brain functions and such things that go over human understanding.
Bob should be seen as the concretion of human evilness, or just darker human side which wants to dominate, opress others and seek for own pleasure, which is highly connected on the opressign aswell. Antisosial nature, so Leland was as a child molested and harmed in many ways, by such persons, which is how he became aswell, the evil side that exists in everyone of us had become dominating, what the investigators want to understand by somewhat deciding to believe into spirits possessing people, its hard to grasp human father cabable and desiring such things, its easy to blame some satanic creature or some other mystical supernatural creature, when its actually Leland commiting such acts in full concious.
The red room, in the room, can be seen as represention of Coopers mind, where these different parts of humanity exists, and in the end the evil in Agent takes the dominative position, the polite emphatic Cooper is lost somewhere, its the vengefull, hating, lustfull Cooper in charge now.
I hope you can understand some of this incoherent message and ask questions.
Hope this clears it up.
.... again, what the hell happened? I hope everything will be alright for e v e r y o n e in the end.