Eh.
Season 1 > season 2 > Secret Diary of Laura Palmer > Fire Walk with Me > Secret Lives of Twin Peaks [or a Cliffnotes of it -_'] > season 3.
Yes, the movie and several tie-in books are practically mandatory. That's basically the most comprehensible way to get through it, given season 3 is an accumulation of the entire lore, not just limited to the previous show.
Laura Palmer's Diary adds a lot of context to FWWM, season 3 is virtually incomprehensible without FWWM and Secret Lives.
The Autobiography of F.B.I. Special Agent Dale Cooper can go just about anywhere after season 1. It's a fun read, but less useful than the other tie-ins and parts are retconned by production issues of FWWM.
Missing Pieces also helps a little to acclimate to FWWM and a few things make more sense with it, but the only scenes that add much are the more coherent Philip Jeffries scene and the Laura scenes. Otherwise, most of it is whatever.