Say, I'm not sure if anyone ever made this connection but reading about Lovecraft's work and mythos lately (without actually having read one of his books, as of yet), it struck me how a lot of the supernatural horror elements underlying Twin Peaks harken back to the same themes Lovecraft used in his fiction.
Especially the idea of a small American town being threatened by or occasionally interacting with horrors from other dimensions seems highly similar to Twin Peaks. Here's a section from Wikipedia on Lovecraft's idea of the "Dreamlands":
"To reach the Dreamlands, a sleeper must find an unusual stairway in a conventional dream and walk down the Seventy Steps of Light Slumber to face the judgment of powerful gatekeepers named Nasht and Kaman-Tha. If judged worthy (that is, able to survive the dangers of the Dreamlands), the dreamer is allowed to descend the Seven Hundred Steps of Deeper Slumber and emerges in the Enchanted Wood. When entering the Dreamlands this way, the person leaves his or her physical body safely in the waking world. If the dreamer is killed during his or her travels, the person's corporeal body will suffer only a shock. Sometimes, however, this can be fatal — dream death of this kind makes return to the Dreamlands impossible. Waking up causes a person's dream self to disappear; thus the individual may have difficulty recalling anything learned or experienced while asleep (similar to conventional dreaming). A dreamer who dies in the real world while his dream self is still alive may have the option of retiring to the Dreamlands for the remainder of his dream self's "life."
The Dreamlands can be entered in other ways, including physically. This usually requires passing through very dangerous areas of both the waking world and the Dreamlands. Consequently, real death becomes a risk. However, the visitor does receive the prolonged lifespan of a native of the Dreamlands, so the traveller's time there is no longer limited to the duration of a night's sleep on earth.
[...]
Time flows at a different rate in the Dreamlands — each hour on earth represents a week or more there. Consequently, a traveller can spend months in the Dreamlands during a single night's sleep on earth. Fortunately for dreamers, inhabitants of the Dreamlands are either long-lived or immortal, provided they avoid injury or disease.
Despite its accelerated time, the Dreamlands rarely experiences change. Its geography, politics, and population remain fairly static. Dreamers, however, can exert great change over the topography, such as by creating entire cities with accompanying populations.
The Dreamlands has its own pantheon known as the Great Ones or the gods of Earth, which resemble gods of Greek or Roman mythology in that ordinary humans can wound, deceive, and seduce them. They are evidently presided over by some aspect of Nyarlathotep, the avatar of the Outer Gods. Otherwise, the rest of the deities of the mythos, who figure prominently in Lovecraft's other writings (such as the Great Old Ones and the Outer Gods), have little interest in or influence over the Dreamlands."
Interesting, isn't it? I wonder if Lynch ever read any Lovecraft stories.