Love Twin Peaks. It's actually my favorite show after TOS. You are actually in what I consider the strongest period in the show, from the season 2 opener to the end of the Palmer story is excellent television.
Everyone is right about the rough patch. Stick with it though. The last episode is one of the best in the series, and the preceding couple aren't that bad either. There is a run of maybe 7-9 episodes that are VERY weak, especially the first time you see them and don't know what to expect. I like some bits here and there in those episodes (mostly little comic things) but it is tough to get through at times.
I like the movie, but it is full Lynch and much darker than the series. It's missing a lot of the humor and most of the cast. I do think it's important to the larger story though, and if you really like the show it's worth a watch. For those who have seen it, I especially like the opening prologue and the ending.