The Return Was Critiquing Modern TV
So what was Twin Peaks: The Return? That's a question too big for a single article, but keeping things simple there's a couple of key textual and thematic points we can hone in on.
In part, it's playing with modern television conventions - in this case the serialized epic - as much as the original was the tropes of the 1980s. The premiere opens with Dale Cooper in the Black Lodge and sets up strange murder comparable to Laura Palmer's, but in its third episode flings off the gown of cohesion and goes into another dimension, trapping Coop as child in adult's clothing Dougie and leaving the crime case as a background concern. From then on it was unpredictable and constantly undermining whatever expectations it established: Cooper's full return was constantly teased via coffee, cherry pie or constantly subverted FBI discovery, then occurred almost at random care of him accidentally catching Sunset Boulevard; Audrey Horne was absent for the first dozen episodes and her is-she-isn't-she state was repeatedly flipped; Richard Horne was introduced and teased as the son of Audrey and Mr. C, but this was only confirmed after his sudden proxy death.
Before the show hit, there was some debate in the TV recap community about whether Lynch's 18-hour movie cut into sixty-minute parts would work in the obsessive scouring of online criticism that has proven so fruitful for Game of Thrones and Westworld. And, in short, while there's definitely clues and easter eggs hidden week to week, rampant theorizing was a waste of time; the misdirection levels are so high and weeks go by with subplots un-nurtured that focusing on plot over meaning is fruitless (it's telling that some outlets that hit the ground running later dropped recapping the show altogether). The Return was a treatise on weekly consumption of TV over of binging for spoilers. Indeed, you could have the entire thing spoiled and learn nothing.
But It Was Also Continuing The Black Lodge Plot
All that said, there was a clear underlying narrative to all the spiraling weirdness. Cooper's escape, becoming Dougie, Mr. C's quest and everything linked into it was advancing the rules of the Black Lodge set up in the first two season and movie. The Black Lodge was a representation of the evil lurking beneath Twin Peaks' surface, and with The Return Lynch appeared to be trying to show where it came from, what happens when it manifests, and ultimately Cooper's futile-but-relentlessly-noble attempts to beat it.
Crucially, the series was showing what the impact of the lodge was as opposed to giving explicit details on something unquantifiable; the finale was all about trying to free Laura Palmer despite her confines always being obscure. It's theme over plot (a good comparison point is what Ridley Scott did with Alien: Covenant) while still giving enough details to actually make the point.
There's a lot more going on in Twin Peaks: The Return, but we'd say that's the essential parts, best seen in how it used primary actor Kyle MacLachlan. Dougie represents the subversion of TV, Mr. C is the twisted plot, and Cooper himself is the consolidation of these - hence why the finale was the weird delight it wound up being, both a send up of resolution and a deepening of the mythology.
The show has clear goals that we've been able to find irrefutable evidence of in the text. Now let's look at why it works on the bigger picture.