The first time I saw Fire Walk With Me, I was not impressed. At all. The film seemed too violent, brutal, and utterly disconnected with the Twin Peaks that we had become so accustomed to through the TV series. I couldn't see the point, past documenting Laura's descent into madness, and felt like this was just another example of David Lynch, well, being David Lynch. The second time around, I saw FWWM in theaters - this is a film that demands your complete attention - and was able to appreciate it much more (and now it's one of my favorites). Like in S3 of Twin Peaks, Lynch doesn't make art for instant gratification, and it took me a while to appreciate FWWM (I feel as if it's a somewhat separate entity from the TV show altogether).
In this film, we get a first hand look at all the things hinted at in the show but never really shown, like Bob's truly evil acts or Laura's actual meltdowns. It's a complete 180 from the quirky, lighthearted show, but helps us understand Laura, arguably the series' most important character, as an actual person instead of just a plot device. On repeated viewing, FWWM seems to me to be an essential part of the Twin Peaks series, as different from the show it may be. Also, the soundtrack is absolutely stellar (in my opinion, one of the greatest of all time - FWWM Theme, The Pine Float, and Moving Through Time are must listens).