Perhaps it was because I didn't see it from the beginning but I could never fathom what the heck was going on.
Highly likely. I can't think of many series that punish viewers for missing even one episode to the extent that Twin Peaks does.
When it was first on telly in the UK, I missed the first two episodes and tried to pick it up from the third but was absolutely baffled. It wasn't until a few years later that I had the opportunity to watch the whole thing from the beginning on video. I was instantly hooked and ended up watching both series, beginning to end, in the space of a week.
If you want David Lynch on super-weird form try watching Eraserhead -I think it was his film school graduation thing or something - it elevates weirdness to the Astral Plane.
I take it you haven't seen Inland Empire then?
Eraserhead is certainly a bit odd but at least it has a relatively conventional linear narrative underpinning the weirdness - unlike, say, Lost Highway and Mulholland Drive.
Both of which are utterly brilliant, of course.