just finished the entire twin peaks series (seasons one and two) with the last three episodes last nite. started three or four months ago and finally finished. i highly recommend it. it drags a little in the middle of the second season, but the first season and the end of the second season are quite extraordinary for a television show.
unfortunately, the pilot is hard to get ahold of on DVD, but not too hard on VHS. rent and watch that first. the first season is out on DVD. the second season is not out on DVD, but if youre interested i have TV rips of all the second season episodes and i can get them to you. unfortunately you have to watch them on the computer (unless you have a DVD burner or s-video out on your computer), but at least you can have them.