why does this show look so cheap

Not sure what u mean by cheap.

It was largely filmed at locations in and around Seattle, a lot of it around North Bend to the east of Seattle. Personally, I thought the first two seasons perfectly captured the intimate essence of this small, off-the-wall community in the Pacific Northwest. I come from this area -- British Columbia in Canada -- so it was like a homecoming for me.

I've even been to North Bend several times, always stopping in at the Double-R diner (aka Twede's Cafe) for pie and coffee. (Usually cherry but the banana cream is pretty good too.) No time to get into details, but the first time we stopped there it was even populated with the sort of oddball characters you might encounter in the show.

Also toured the falls, ate at the Bang Bang Bar, saw the the police station, the bridge, etc. When the mist and fog envelope the surrounding mountains, it's hard not to imagine that you're in the fictional Twin Peaks.

North Bend itself is a unique in its own right. They capitalize on their history with assorted film festivals, including some related directly to the series. The town is cute and you can easily access Seattle via public transit.

Season 3 expanded the locations... maybe you are referring to this season specifically?

That was my first impression. It's such a drastic look from the original. S01 and s02 have a dreamy quality to them while s03 looks like a film student project. It was shot with digital cameras while the original used film. But you get used to it after a few episodes.