Big Willie Definitely don't watch the third one without watching the first season, the first arc of the second season and FIRE WALK WITH ME. It'll be a very frustrating experience. The third season is full of complex allusions to the earlier stuff and is also more idiosyncratic.
I've been rewatching bits of the first season recently in a slow way. You've gotta take on board that it's not a conventional show, and Lynch uses slow pacing to bore and frustrate you, juxtaposes thematically and narratively incoherent materiał, soap opera and horror to generate anxiety, establishing shots of pointless things are repeated again and again, there are thirty second tracking shots of walls or bits of decor, and so on.
One thing you'll also notice is about half the actors say their lines preternaturally slowly, as if they're not quite human. That kind of thing's deliberate.
For me it's a very old favourite that I first binge watched with friends on VHS when I was 16, over a weekend. It's very uneven and often undramatic, though. Not sure if I could've watched it that first time without having company and doing it all in one massive hit. The payoff is wonderful though—the return season is one of the greatest achievements in the medium.