VM Varga and his henchmen were terrific villains, Gloria Burgle was easy to root for, and the Stussy brothers and Nikki Swango were interesting characters.
The opening and closing scenes were fantastic and set the stage for the themes of mistaken identity and the nexus of power, truth, and reality in society.
The Hollywood arc was a bit odd but I still enjoyed it. I really liked the supernatural element in this season, especially the Wandering Jew LeLand Palmer (it's Leland Palmer, don't argue with me) in the bowling alley.
IMHO, each of the first three seasons is fantastic, albeit in quite different ways.