what order to watch

Watch the series first and then the film. Watching the film first would be very confusing and would spoil the series.

Series first, then movie, then movie deleted scenes (which sounds silly but there's a full 94 minutes of the buggers, edited like a parallel movie), then look up the very limited amount of additional material if you feel like it! There's four books, a short audiobook and an even shorter in-character featurette.

Worst case scenario: if you find out you don't like the series, maybe give the movie a try before dropping it altogether. Very different tone, maybe if the one doesn't work the other will.

Watch the series up until Episode 9 (Arbitrary Law) of the second season - that is more or less where Lynch's vision ends (and...there is also a natural finality at the end of this episode). The rest of the series is wasted casting around for new plot lines/new direction.

Then watch the movie.

And Moses went up from the plains of Moab unto the mountain of Nebo...

Watch the movies Eraserhead and Blue Velvet to familiarize with Lynch's style. Then go about the series in this order:

1. Seasons 1 & 2
2. The Secret Diary of Laura Palmer book
3. Fire Walk with Me (with deleted scenes reinserted; I've seen a bootleg cut)
4. The Secret History of Twin Peaks book
5. rewatch Seasons 1 & 2 (with the knowledge obtained from Fire Walk with Me and the books)
6. Season 3