"Between Two Worlds" is a featurette included in the Twin Peaks: The Entire Mystery and Twin Peaks: From Z to A Blu-ray releases. It features David Lynch interviewing Grace Zabriskie, Ray Wise and Sheryl Lee, first as their characters (Sarah Palmer, Leland Palmer, and Laura Palmer, respectively), then as themselves.
The second portion of the featurette was later released in the Criterion Collection release of Twin Peaks: Fire Walk with Me.
The Palmer family interview was written by Lynch.
Palmer Family Interview
Sarah says that she is still living in Twin Peaks in the same house, alone. She says she makes a happy face when she goes out, to hide her true thoughts. She admits that she has seen people in the medical profession and entertains herself with watching football, billiards, snooker, and bowling.
Leland states that he has fond memories of Sarah and Laura, stating that he was head over heels in love with Sarah in the beginning. He says that there were once happy times in their home, but there were changes, and he began seeing women. He still believed the family's love was intact at this time, in spite of the darkness that was the molestation of Laura that he blamed on BOB.
Laura reflects on BOB and the abuse she suffered at his hands, but an eventual happiness she felt, presumably referring to the White Lodge after her death.