It's hard to talk about the excellence of this soundtrack without getting into the excellence of the show, so my first recommendation is to just watch Twin Peaks for free online. One of the show's aesthetic drivers is that its satirizing the melodrama and backstabbing that exists in soap operas. The show knowingly has stilted dialogue and character relationship, there's always a mystery to solve or a love affair driving irrational behavior, and the show is even filmed with those daytime TV cameras that make everything look really flat. The music perfectly complements that visual and narrative motif. The music is either sweeping and grandiose, employing strings and even a harp, or mysterious and coy, using sultry horns and lounge jazz drums. However, as in the show, there is a lot more complexity to the music than what initially meets the ear. It's not geared towards just lampooning, but also aims to craft serious art and complex thematic construction. Angelo Badalamenti has worked with Lynch before in a similar fashion on other soundtracks like Blue Velvet so if you've enjoyed the music other Lynch movies, this should be right up your alley.
Music from Twin Peaks  - Download Part 1 Part 2 - Review