There's also a theory that seems to hold up which says the Red Room is both the Black Lodge and a sort of Purgatory Lodge. The Man From Another Place says something to the effect of "When you see me next I will not be me", which he's referring to his doppelganger of the Black Lodge. The strobe lights indicate when Coop is in the Black Lodge where as the Red Room without strobes would be the Purgatory Lodge. It seems they are the same place but can transition back and forth. Therefore all the people we see when the Red Room has stobing lights are the evil Black Lodge doppelgangers.
Some more info on the last episode, the Lodges and Cooper's fate.
Like Gramma said, the Black Lodge is a place out of time and there are numerous places on the internet that have all the quotes and references in the show that allude to this. The gist of the last episode from what I've gathered and heard/read goes pretty much exactly like Gramma outlined.
Here's an explanation from the net that covers a lot and has a cool part about the Caroline/Annie storyline and how Bob and the Black Lodge tie into the events that happened in Pittsburgh.
"When Cooper enters the BL in the final scenes, it is fairly clear what happens -- he meets his doppleganger, he faces it with imperfect courage (he runs from it), and when his doppleganger contacts him, his soul is annihilated. His body is then free to be inhabited by BOB when it returns to the physical world. Coop actually loses his soul in the BL to Earle, when he agrees to Earle's deal to let Annie live. Earle takes Coop's soul with the act of stabbing him in the BL. Note that it seems that anything that happens to physical characters in the BL must also happen in the WL world, but because of the relative time-scales things don't happen in the same order. Thus, when Coop is stabbed by Earle in the BL it is the same act that occurred in Pittsburg in our past. Also note that in the BL Coop comes across the dead body of Caroline. In the BL, prior to taking Coop's soul, Earle has killed Caroline and taken her soul. He was able to take her soul because she is not one of the 'gifted'.
However, Coop is one of the gifted, and as such Earle does not have the right to take his soul. BOB then intervenes to turn back time (remember that Earle has earlier stated that the power of the BL is such that one could re-order the world to suit one's self -ep26). The hint that BOB is interfering with temporal progression within the BL is that Coop begins to bleed from the wound inflicted by Earle before it occurs, the bleeding gradually gets worse, up until the moment the wound occurs, at which point it stops. So, Coop still has his soul when it is annihilated by his doppleganger (which is probably what BOB wanted all along). But if Caroline's wound in the BL is echoed in the WL, that would mean that she would have to have been present physically (like Coop is). I think that the soul of Caroline is actually in Annie. Recall the strange links between Annie and Caroline in the BL when one speaks as if she is the other, and their images alternate (ep29).
Earle took possession of Caroline's soul, but when BOB takes the soul of Earle, her soul is again free. When she was younger Annie attempted suicide, and this was Caroline's chance to inhabit a body whose soul was eager to give up possession. She then sought and eventually found Coop, so that they could be reunited (although Annie isn't consciously aware of this). So, ironically, when Earle brings Annie into the BL, he sets off a circular chain of events that eventually lead up to him bringing Annie into the BL! The stabbing happens to Caroline and not Annie in our world, because at the time the stabbing occurred, the body holding the soul of Caroline was Caroline's body, not Annie's.
[ note that when BOB leaves Leland he[BOB] says "I have this thing for knives. Just like that thing that happened to you in Pittsburg that time, huh Cooper?" Bob knows about this incident not because he actually performed the stabbing, but because in a sense he was there (in the BL version of events at least)."
That's fascinating. I hadn't read or surmised most of that for myself, but a lot of that would require some pretty fucking aggressive scholarly explication of the show as a whole.
It's nice/interesting that my theory, crude and incomplete as it is, seems to jive somewhat with what the internet heads have to say about it. I just cobbled that together from my own impressions on repeated viewings of the show.
Oh, one other thing! So, over the course of the show each of the character's arcs is described, crudely, as a crossing of the chess board -- moving from white to black or black to white. Many of the characters personalities have changed entirely by the end of the show -- Ben Horne goes from corrupt to repentant, Pete goes from well meaning and likeable to greedy and uncaring, Cooper of course goes from being... well, Cooper to being a vessel for BOB, etc. But what the fuck happened to Josie Packard? Like, I know where she ends up, but what exactly does that mean for her? She doesn't wind up in the Black Lodge, it seems, she's just... trapped. It seems of all of the characters, her fate is the most cruel (well, except maybe Leo), and although she was never really a soldier for the white I kind of feel like her punishment was too severe.
The craziest thing about being born and mostly raised in WA state is that I have been to a ton of Twin Peaks locations and was none the wiser. I have obviously taken them for granted according to you folks. I've been to Ronette's Bridge, TPHS, The Great Northern, Giant Log, Big Ed's Gas Farm, Horne's, the state pen, Cooper's prospective house/Snoqualmie Depot, Wind River, Blue Diamond Motel and Hap's Diner (ate there last summer!). Anyway, I'm starting to get all twirly from the Nyquil again.
I HOPE THAT THE BURRITOS, MESSES, SWITCHES, WONKS AND PINKGRAMMAS ARE HAVING FUN LIKE WHOA. HAPPY BIRTHDAY AGAIN STORMY.
But what the fuck happened to Josie Packard? Like, I know where she ends up, but what exactly does that mean for her?
There's actually an interesting thing here you are probably aware of but I can't be sure. Look up a show called "Nightmare Cafe". Joan Chen appears in an episode of that show as Josie Packard, and it provides a sort of answer as to what happens to her after Twin Peaks.