I was lying awake til the early hours last night, indulging in my favourite past time of trying to work out what the hell happened in the last episodes of S3. I came to a new understanding, and apologies if any of this is old hat. This post is a bit epic, but it's not a nutty theory.
I've been really obsessed with the second departure of Cooper from the lodge. Why does he meet Diane? Why do they ask each other "is it really you?!", and "do you remember everything"? It suddenly struck me as obvious in the following way.
In the original series history, Cooper entered the lodge and his doppelganger left (in 1990? 1989? Whatever). At some point, probably shortly after, his Doppelganger raped Diane and took her somewhere outside of the normal timeline (the lodge? the Dutchmans? It's months since I watched it, so I can't remember). He released a tulpa in her wake. Since then, Diane was somehow shepherded via the fireman back into the same timeline, after the death of theh tulpa. We see all that in S3. In this timeline, Cooper himself leaves the lodge 25 years later, and eventually gets to Twin Peaks and kills the doppelganger. Then, he enters a portal, goes back in time and saves Laura, but loses her as we all know.
What happens next? Cooper in the "revised original timeline" still goes to the lodge (on blue rose business?). But he can come out naturally, which he does, and he is in cahoots with the fireman. It isn't really clear exactly when he does this, but in a sense it doesn't matter. He meets Diane, who he is collaborating with, and this Diane still vaguely remembers everything from the original version of events (in which she was raped and kidnapped by the Doppelganger), because The Final Dossier makes clear that people in this revised timeline can still sort of remember the "unofficial version" until their memory becomes hazy. That's why Cooper asks her if she remembers everything, and if it is really her. He is checking the plan, and needs to make sure the tulpa has been dispatched, and he is indeed on course.
He then goes into an alternate timeline via a portal, with the real Diane. Diane suffers a loss of identity in this new timeline after seeing the version of herself that exists in this timeline, and she becomes subsumed in a new identity. I think the traumatic sex scene is partly showing us her loss of identity (she is suddenly having sex with a stranger instead of the man she loves), or it equally relates to a traumatic memory of the doppelganger. In either case, erotic is not an apt description. Cooper then continues with the fireman's plan after that, which remains mysterious.
Cooper needs to take Diane to the alternate timeline, because the sex magic attracts Judy somehow (we see that in the first episode). Something about his plan is about attracting Judy. I think the two birds with one stone are "get Judy and find Laura", but we all know that.
I'm interested to hear how much of this chimes with other views, and indeed if I'm simply recycling lots of stuff from other members, but it finally settled in my head.