Yeah, I really need to rewatch (the whole series, really) and digest some more. There's a couple of things that come immediately to mind:
1] This really is a show about Laura Palmer, as it has been all along, and about the prevalence of evil. Incest carries with it a particularly noxious stain to most people, which is why the incest taboo is at the heart of small-town books like Kings Row and Peyton Place. The double-vision of a bucolic town and its obscene underbelly has been present in the literature since at least the Revolt from the Village, and probably earlier (Twain does something similar, time and again). Twin Peaks is a lot of things, but at its core it's the same story of incest and victimization that faces Cassandra in Kings Row and Selina in Peyton Place (Laura is, in this construction, somewhere between Cassandra, who is murdered by her incestuous father, and Selina, who kills her abuser).
2] Insofar as small towns represent a microcosm of America (Sinclair Lewis: "The place is America...."), what they seem to suggest is that America itself is undergirded by an obscene incestuous secret. This is, of course, a Lynchian motif as well--the opening scene of Blue Velvet is essentially Twin Peaks writ small. In The Secret History, Frost ties Twin Peaks, the town, to the displacement of Native American communities (most notably, Chief Joseph) and the whole bloody history of westward expansion and growing imperialism. The Return does the same, in two ways: first, by taking the show "on the road," it suggests that the dark forces at work in Twin Peaks are a small part of the larger cosmic forces (small-town hick villain BOB is defeated by punching him really hard, but The Experiment is different because she is more diffuse. Secondly, the history of Twin Peaks is tied to the Bomb, which is the morning star of American Imperialism considered as a global, rather than purely continental, phenomenon.
3] The focus this season is interesting in that the evil is specifically maternal--as opposed to the paternal evil of Leland and BOB. The Experiment/Mother/Judy is thus tied to fecundity rather than aggression (I'll leave out the whole Zizekian thing about the maternal superego, though I imagine something could be done with that). If Lynch is Gnostic (as, for instance, The Strange World of David Lynch suggests), then The Return would be the clearest picture of that, insofar as The Experiment is a demiurge, creating and recreating the world in which these characters live. Is this, then, the obscene secret at the heart of the universe? That all we are and seem are but a dream within a dream, and that dream is not the incantation of a good God but of a malicious one?
4] Sarah Palmer, as a host of Mother (maybe) and the 119 girl both offer more dark mother imagery.
5] Speaking of Sarah--I've held for a while that she knew, or at least strongly suspected, what Leland was up to. The performance in Fire Walk with Me leaves little doubt in my mind as to that. So, symbolically, her infestation by Mother suggests the guilt attending her over the past 25 years, looking back and knowing that she knew or suspected and yet did nothing (from fear or disbelief or whatever). I find that very powerful.
6] Audrey's scenes, including the final shot, are essentially this season writ small.
7] On the least interesting level possible--lots of good stuff about the cliffhanger and Lynch's refusal of closure, but the ending also speaks to Lynch/Frost's seemingly genuine love of television as a way of telling stories. Lynch famously never wanted to resolve the Laura Palmer killing, on the grounds that it was simply a motor for the rest of the story. The idea of a neverending, open-world narrative--a soap opera--has always been in this show's DNA, and although The Return shed much (though less, I think, than some folks assume) of the soapy stuff, it's still interested in the idea that stories don't have to end, that they can always spin out into new and unexplained territory.
8] I've been on the "no season 4" bandwagon for a while, but after the finale I won't, at least, be mad if they do another season.
9] Something needs to be said about that particularly unsexy sex scene, but I'm not sure what.
10] Kyle M deserves every award they can throw at him.