I think it would be good to nail down what the demonic characters want, although given the nature of the show there's gonna a lot of stuff that hasn't been and will probably never be explained.
In FWWM, we learn that BOB has made a deal with MIKE/The Man from Another Place (the dwarf is Mike's arm; in The Return, he "evolves" into a talking sycamore tree) to give the green ring to Laura Palmer. This marks her as MIKE's. Teresa Banks, the woman BOB killed before Laura, also wore the green ring. We don't see what happens to her after she dies--whether she ends up in the Black Lodge, like Laura.
But BOB tries to betray MIKE with Laura Palmer. He wants to possess her, like he possessed Leland Palmer. He takes her up to the train car to do this, but MIKE throws the green ring into the car and Laura puts it on. Since he can't have her now, BOB kills her and her soul goes to the Black Lodge. Her soul now belongs to MIKE.
At the end of FWWM, there's a weird scene where BOB brings Leland to the red room (the "waiting room" of the Black Lodge). He gives MIKE Leland's "garbonzonia," a yellow substance that looks like cream corn and is Leland's "pain and sorrow." Presumably, this is the pain and sorrow Leland has felt committing awful crimes while possessed by BOB.
BOB/Leland returns to Twin Peaks, and the events of the original show unfold. Dale finds out that Leland killed Laura, Leland dies. His soul ends up in the Black Lodge. In the finale of season 2, Dale gets trapped in the Black Lodge while his doppelganger, who is BOB, escapes into the world.
Now, spoilers for The Return (including episodes 3 & 4):
25 years have passed. Dale is still in the Black Lodge. Bad Dale/BOB is still at large. But, we learn that BOB must return to the Black Lodge after 25 years. This is either a law of the Black Lodge or another deal he has made with MIKE. When he returns, Dale can go free.
But BOB has made a plan to escape the Black Lodge. Using a tiny gold orb (of unknown origin/properties), he somehow crafts a duplicate of Dale, named Dougie Jones. This is the Dale that is summoned back to the Black Lodge.
Interestingly, Dougie is summoned because he is wearing the green ring. Was BOB supposed to wear this ring while he was out in the world? If so, this seems like a change in his relationship with MIKE. Before, BOB was supposed to give the green ring to the victims whose souls he promised MIKE. (I guess the garbonzonia is something else he owes MIKE as part of their deal? Or maybe MIKE demanded Leland's garbonzonia because BOB tried to betray him?)
In any case, if he was supposed to wear the green ring, then that means he is supposed to belong to MIKE. The Dougie Jones ruse liberates him from his service. Both Dougie and BOB/Bad Dale vomit up garbonzonia when Dougie is summoned to the Black Lodge, but it stays in the real world and MIKE doesn't appear to take it. Not sure what that means.
Now BOB is free to use Dale's doppelganger body indefinitely. It seems like everything in the Black Lodge has a doppelganger. Even MIKE has a doppelganger--or doppelgangers. The Giant is hinted to be the dwarf's doppelganger in the season 2 finale. And in The Return, a yellow-headed sycamore tree that the Man from Another Place calls his doppelganger attacks Dale and banishes him from the Black Lodge into some sort of limbo. Is the doppelganger sycamore working with BOB or does it have its own agenda?
The real Dale travels through this limbo and escapes through an electrical outlet (!!!) into the real world, where he takes Dougie's place after Dougie is summoned to the Black Lodge. MIKE appears to him in a vision and tells him that he must kill the Bad Dale or be killed by him. Trouble is, Dale has been mentally damaged by his stay in the Black Lodge and doesn't remember anything. So he'll have to remember who he is before he can do anything about BOB/his doppelganger. And that pretty much brings us up to the end of episode 4.
The demonic beings walk our world to collect garbonzonia by possessing us and making us do terrible things. BOB is in the middle of his master plan to free himself from MIKE's control and his bondage to the Black Lodge. He seems to like the real world better. And if Dale is to get his life back, then he needs to kill his doppelganger and send BOB back to the Black Lodge. That seems to be the basic plot of The Return, at least as it concerns Dale, BOB, and MIKE.