Yes, it's one of my all-time favorite stories in any medium. But be warned, after Lynch and Frost become less involved in season 2 the quality takes a serious drive, but the final episode has Lynch/Frost returning and it's one of the series' best. The movie prequel (Twin Peaks: Fire Walk With Me) that follows Laura's last days is also very good, and ten times scarier than the show is.
I can't freaking wait for the Showtime continuation next month.
EDIT: And even though there is that drop in quality in season 2, there are a number of great episodes in there and the payoff to the mystery is better than I could have asked for. I typically judge things by their highs and Twin Peaks's highs aren't just great, they offer things I've never seen anywhere else (except other Lynch films). Giving me something new, things that still feel new over 25 years later, more than makes up for its weaker moments, imo.