Twin Peaks/WMG

Had the show continued into a third season, aliens would have featured in it
It was alluded to by Major Briggs and all the Project Bluebook references in the late 2nd season.

The midget was behind it all...
Red three-piece suit? Name not revealed? He had to be Lucifer. The movie-Fire Walk With Me- reveals that The Man From Another Place is actually 'the arm' of Mike, the one armed man.
 * Oh, you mean the arm that had "been touched by the devilish one"?

The Giant was an inhabitant of the White Lodge, stuck in the Black Lodge after the former was destroyed or absorbed by the latter.
He tries to help Cooper fight The Evil in the Woods by giving him clues.

Agent Cooper eventually becomes Special Agent Frank Lundy
He escaped the Black Lodge and continued his work for the FBI. Notice Special Agent Lundy is chipper, upbeat, has precise unique methods and is obsessive about food. He even ends his time on Dexter by saying he is going to work on a case in Portland, OR. Back to where he started. ..

The man in the red suit and plaster mask in the Black Lodge in the film is the Log Lady's husband.
He died in a fire, and that guy's wearing a red suit. He's also holding a stick, which could serve as the link between himself and the Log Lady's log. There are several parts in the show as well as the film that hint this could be likely.

Killer B.O.B. is Dale Cooper's shadow self.
In the episode in season two just after  Cooper speaks with Hawk and Sheriff Truman about the White and Black Lodge. Hawk states that the White Lodge is where spirits reside. He also goes on to talk about the black lodge stating it is "the shadow-self of the White Lodge. The legend says that every spirit must pass through there on the way to perfection. There, you will meet your own shadow self. My people call it 'The Dweller on the Threshold' ... But it is said, if you confront the Black Lodge with imperfect courage, it will utterly annihilate your soul." Tying back to the "How's Annie" ending when  which was setting Cooper up to face his shadow self which was/is in fact.

Twin Peaks is set in the Buffyverse.
Let's see: small wholesome town with dark secrets, check. Portals to hell dimensions, check. People killing loved ones while under demonic possession, check. Prophetic dreams, check. Mystical secrets that can only be seen by the mentally ill, check. High school girls with superpowers (and in-story Dawson Casting!), check. Morally bankrupt lawyers, check. Jerkass father figures, check. So basically, Leland Palmer has at some point worked for Wolfram & Hart, BOB and Mike's convenience store was in Sunnydale, Nadine's a Slayer, and Willow really did go to the Black Lodge in "Restless".

Several Mind Screws exist in one shared universe.
It all starts with HBO's Carnivale. Several thousand years ago, the first avatara appeared: one an avatar of good, the other of evil. Every generation, two new avatars were born. The avatars were receiving their good/bad powers from either the white or the black lodge. Had Carnivale not been cancelled, Word of God is that it would have ended with the Trinity nuclear test, in the mid 1940s. It's also stated that Sofie is the Omega: the last of the Avatar, neither good nor evil, the one who will bring about the end. So, in the mid 40s, the avatar lines cease. The lodges, however, continue to exist.

Without avatars to project their influence through, things start getting weird. Instead of only a couple of people with ties to the powers of good and evil, now the powers seem to "leak" out into the world. This brings us to Twin Peaks. The black lodge has Killer BOB, the white lodge has (perhaps) the giant. The two lodges try to influence people in the real world using dreams. Windom Earl, a truly evil soul, is being contacted by the black lodge. The hope to use him as their pseudo-avatar. Likewise, agent Cooper is being contacted by the white lodge, who need a truly good soul to defeat evil. The show was cancelled before this could be resolved, and the series ends with Cooper trapped (perhaps forever) in the black lodge.

As David Lynch has confirmed that Lost Highway takes place in the Twin Peaks universe, and since Mulholland Drive was originally meant to be a spinoff for Audrey, it can be assumed that these two movies play by the same rules. People are influenced by the two lodges, each trying to gain a foothold in reality without the use of a proper Avatar. As Mulholland Drive is revealed, this could be either the white lodge trying to make her face what she's done, or the black lodge trying to make her forget about it and join them. Similarly, many parts of Lost Highway can be explained as visions from the lodges, the Mystery Man being a creature similar to Killer BOB, etc.

It must be remembered that time moves differently in the lodges than on our plane of reality. In the Twin Peaks prequel movie, Laura is warned about events that won't happen until the series proper. With that in mind, let's take a look at events that happened in Middlesex, Virginia. The year is 1988, and Donnie Darko is a troubled teenager who frequently sleepwalks. He also has vivid dreams. One day, a vision of Frank the rabbit tells him to leave his room. Donnie does so, and his bed is then destroyed by a mysterious falling airplane turbine. Donnie is told that he has 28 days to prevent the world from being destroyed. Clearly, the white lodge is using Frank as it's voice to help Donnie save the world. In the director's cut, Donnie is often seen to "download" information, with close-ups of his eye and many numbers and images flashing by. The Word of God on this is that the information is coming from unseen beings from the future. In actual fact, this is the White Lodge giving Donnie info on future events which he needs to prevent. The story of Donnie Darko plays out over the course of about a month, before Donnie travels back in time and saves the world by letting the airplane turbine kill him instead of leaving his bed. The events that took place during most of the movie end up never happening. They were erased from existence. Of course, the two lodges still remember them, as they exist outside of normal time.

The earlier mentioned Lost Highway is likely a similar story to Donnie Darko, with one or more of the lodges creating increasingly disturbing alternate realities to try and aid their pseudo-avatar on earth. It's possible that. It's very probably that similar events happen very frequently. Perhaps it's one of the lodges itself that creates these alternate realities in a bid to save the world, or maybe it's the trapped agents Cooper and/or Jeffries trying to get someone to rescue them. Either way, these realities can't last too long, or the world eventually ends.

What happens if one of these alternate realities is not destroyed in a fairly timely manner? Southland Tales is what happens. It's not all that obvious in the feature proper, due to half of the story being told in a tie in graphic novel (whatever idiot thought that would work should be shot), but Southland Tales can best be described as the future of Donnie Darko's tangent universe. Since Donnie sacrificed himself and closed the tangent universe, our reality was saved. However, he did not destroy the alt. universe, instead simply closing it off. Since the tangent universe can no longer effect out own, neither lodge is influencing it. This means that the white lodge isn't acting to save this world, nor it the black lodge acting to destroy or rule it.

This universe begins to fall apart, starting with the discovery of the "fluid karma" that the Treer company finds while drilling of the coast of Israel. Fluid Karma is an organic compound the circles around the earth like a serpent. It can be assumed that our primary universe also has fluid karma, but it's only reachable through one of the lodges. It's likely that fluid karma is what flowed through the old avatars' blood streams (hence why their blood was blue). With no lodge to control the Southland Tales alternate universe, fluid karma leaks out into reality. Another side-effect is "Operation Dream Theory." Here's what the Southland Tales faq page on imdb has to say about that:

"'Operation Dream Theory' was an experiment created by Treer. The Treer generators were slowing the rotation of Earth by .0000006 miles per hour, which caused strange effects around the world. One of these was a rift created in the fourth dimension -- the fourth dimension being time itself -- at Lake Meade, which was discovered when an airplane flew through it and had all its passengers left with amnesia (bar one - Krysta Now, who gained psychic abilities from it). Once it was discovered, they sent monkeys through it, which failed (Boxer claims that only a human soul could survive the trip). After much trial and error with monkies, Baron decided to send Boxer through it - chosen because of his political ties and his celebrity persona. When Boxer (and Roland) traveled through the rift, it created duplicate versions of both -- one set of duplicates traveled 69 minutes back in time, while the "originals" stayed in their original time. There are now two versions of each co-existing in the same universe -- two Boxer Santaros and two Roland Taverners. Boxer's original self was incinerated in a car bomb triggered by Serpentine, while the duplicate Boxer is still roaming. "

Reality itself is falling apart. It becomes up to the two Roland Taverners to save (or more likely, destroy and rebuild) their crumbling, neglected universe. The tattoos of various religions and beliefs that cover Boxer's body and are "fighting to see who will will" could be seen as meaning what faith the new universe will follow after the destruction of the current one. After all, the predominant force in the "real" reality has always been the two lodges, absent from this universe. The movies ends with the Jesus tattoo bleeding, Christianity is the victor, and the new reality will follow the rules of this faith.

The third season would have started with Cooper, Pete and Audrey having to escape from the Black Lodge.
At the end of season two, when Andrew Packard opens the safe deposit box, triggering the bomb placed in it, we see only his glasses flying out of the blast. The reason for this is because the elderly bank clerk is actually another incarnation of the Man from Another Place/The Giant who transported both Pete and Audrey to the Black Lodge (or the place with the red curtains, depending on the fact you believe this is actually the Black Lodge or just a buffer zone between the Black and White lodges) mere seconds before the entire building exploded. With Dale Cooper having switched places with BOB, the third season would have started with all three of them trying to get out of the Black Lodge.

Cooper actually hates/is apathetic to Twin Peaks.
At least to begin with / the pilot. The eccentricities he shows and obsession with minutiae like the names of trees and varieties of squirrels is essentially him being condescending to the locals. Either that, or he thinks that if he keeps sweet-talking the town as much as possible, he'll end up in everyone's favor, which will help his investigation. The explanation that he is whittling because "that's what you do in a town where a yellow light still means slow down instead of speed up" could easily be interpreted as sarcasm. How he feels as things get crazier is up to speculation.

Dennis Denise Bryson is Fox Mulder's long-lost sister
There is a distinct family resemblence between the two...