Why The Return Is Good Storytelling
When we talk about The Return making sense, we're not necessarily meaning tightly wound loose ends or having answers to every dangling question. Why did Steven Burnett shoot himself in the woods? What real purpose did Jacobi's gold shovels serve? Where is Audrey? Why is David Bowie now a boiler? You can explain it if you reach - the answers are fear, fixing unrequited love, a lodge dimension (presumably) and real-world practicalities respectively - but that's not the point. What we're really talking about is storytelling.
And, while unconventional, Twin Peaks is a cracking story. Yes, it's more about the experience than it is the narrative, but that experience is still a story. Lynch is taking you on a journey with a medium-defined beginning, middle and end, so has to craft some sense of momentum and development. Boy does he.
Take Episode 8, undeniably the show's greatest technical achievement and also its most out-there hour. Told in four parts, it's a sensual assault of descending bizarreness, yet each step has a purpose: we see Mr. C preserved by the creatures of the Black Lodge; get a tonal establishment from Nine Inch Nails; then "flashback" to the creation of BOB, an evil born of America's quest for self-destruction; and finally have a small vignette revealing a deeper presence. That's an exposition episode by any normal measure, the only distinction is that the development here occurs more on a feeling level than a pure factual one.
Even the ending works. Episode 17 resolves the main narrative threads of the season and the show, leaving Episode 18, the finale, to cap it off with something completely new; a folly adventure into a new dimension where Laura Palmer survived. Cooper's final words asking about the year and "Laura" suddenly screaming are going to be debated for longer than "How's Annie?", yet it thematically flows and any cliffhanger nature is (unlike Season 2) totally intentional.
The Game of Thrones Comparison
To perhaps best show this, it's worth comparing to Game of Thrones. HBO's fantasy epic ran its seventh season opposite Twin Peaks during the middle of the run and certainly won the ratings battle on the early nights when the pair were pitted against each other, yet its critcial attention was mixed. As the truncated seven-episode run wore on, repeated complaints about its lazy, seemingly-randomized storytelling become prominent; by the time the Night King took mount on his newly converted dragon to bring down the wall we were left with a host of ignored, unanswered questions that take giant leaps of logic to consolidate (and will likely not be answered otherwise).
Now, for all its unexpected plot turns and genre subversion, Game of Thrones fits the mold of traditional narrative storytelling - the plot moves forward in an A-B-C manner - so these flubs are breaking the form. We would thus argue Twin Peaks ultimately made more sense than Thrones this year - HBO's baby is more confusing against what it set itself up to be, whereas Showtime's is faithful to its core and traceable all the way back to that 1990 premiere.
Conclusion: Twin Peaks Makes Sense Because It's Twin Peaks
A common addage amongst Lynch fans is that his films work because their flow is evocative of dream-like experiences we've all had (that's why Episode 8, especially the A-bomb sequence, is so effective), and with The Return the famously closed filmmaker essentially canonized that; the idea of being lost in a vision, of forgetting things in all but the subconscious, or being adrift from the norm as if in someone else's dream, runs through the show, making any overt weirdness not only purposeful but an evocative part of the whole.
We'd point towards Cole's dream of Monica Bellucci as the most fourth-wall breaking case of this, although it's worth stating the finale is basically Cooper experiencing what the viewers have - he too is now in a world so close to the truth and yet populated like a nightmare.
The best way to put it is that Twin Peaks is dreamlike, following fluid rules logical within its own confines that are nevertheless different to the real world. It makes sense in its own definition.
Weird doesn't mean nonsensical. Understanding doesn't mean total comprehension. And Lynch's magnum opus above all else obeys its own rules.