Here is a theory for Series 3:
When Coop is trying to get out of the lodge world in Part 3, he walks towards a plug socket with the number 15 over it. Naido then pulls him away and pulls the lever thing to change the number to 3 (I assume). Cooper then goes back to the socket and all of him is drawn into the no. 3 socket. I'm guessing that means he is transferred into the current Part 3 of the series, rather than Part 15. Part 15 is when he sticks the fork in the socket and becomes full Cooper (after the coma). Perhaps Coop's memory went into Socket 15 when he initially approached it and he had to survive until Part 15 to catch up with it.. Mike's message to him is you just need to survive: "Don't die" x3. Perhaps Naido wanted Coop to experience the everyday suburban life as Dougie to improve his soul, or something.
Also, when Jeffries says "this is where you'll find Judy", the number 8/infinity sign appears. I wonder if this is a reference to Part 8, when Judy enters the world during the atomic bomb test at White Sands, but also a reference that Judy (evil) is infinite.
In Part 6 there is a close up of a telegraph pole at the Fat Trout Trailer camp with the number 6 on it ....
So, Coop (bad and good), Laura, and Judy, are moving between worlds (the TV Twin Peaks world) and our reality - our side of the screen. Coop moves from Twin Peaks TV world into our reality in part 18 (which is hyper real, no background music), bringing Judy's infinite evil into our world - cue horror scream from Laura as we hear Sarah Palmer (possessed by Judy) scream and the lights go and out, signifying Judy's arrival into our world.