I always think that what Lynch is driving at ultimately is that mystery is a beautiful thing. Mystery is exciting as a concept since it always drives us to discover more and want to uncover more, just think if scientists knew everything and we as a species knew everything, things would be dull. Lynch ties his love of mysteries (and of the unknown) in with his own 'dream logic' - I think he's pretty much accomplished what he wanted, he wants people to ask questions and theorise, just in the same way that we do about other things in life.
He isn't sequel baiting (like some seem to think he might be, wanting to make another season or film, not to say that he won't or anything), he just actively hates conclusions and things done in neat little bows. His work always requires patience but I think he gave enough answers (and was actually pleasantly surprised by how much him and Frost answered about the Black Lodge, the Red Room and its inhabitants) whilst also teasing and horrifying in equal measure and brought back the mystery that made me love the first Season so much in the first place.
Like, Judy, the Experiment (which is possibly 'Mother' - the creature that spewed forth the likes of BOB into the world), the Tulpas, the Woodsmen/Ghosts and Sarah Palmer - there's still so much we know nothing about but honestly those creatures are best left mysterious in a way. Those...things made the series scary and thrilling to watch (alongside Evil Coop, of course). Kyle MacLachlan possibly put in his best performance in his career. I also really enjoyed most of the new characters as well, especially Robert Knepper's and Jim Belushi's mobsters, Tim Roth and Jennifer Jason Leigh's hillbillies and Richard Horne.
On the theories of dreamers - Audrey is definitely one of the dreamers, that much is obvious, maybe Gordon Cole is another, Cooper is another - the evidence of this is pretty much since we see so many scenes from their perspectives and the fact that they keep referring to dreams and each of them have a 'wake up' moment each.
Perhaps Phillip Jeffries is another dreamer, since he was actually the one with the answers in the first place - recalling back to Fire Walk With Me he actually says "We live inside a dream" To be honest the dream logic actually does a job of explaining all of the weird random occurrences in a way but it doesn't cheapen things either since if you think about all of the events people normally experience during dreams - living the life of another despite still being the same person - Cooper>Evil Coop>Dougie (x2 - one who ends up back in the Red Room, one that Cooper inhabits)>Final Cooper (who is probably best of thought as a separate entity as well).