So I just got done watching FFWM and I'm a little confused on what happened in the scene with David Bowie. Can you explain?
I'll try my best--it's hard to condense into a few paragraphs!
First off, Agent Jeffries (Bowie) walks out of an elevator, similar to when Philip Gerard walks out of the elevator in the pilot episode. Knowing David Lynch, this could mean there's a connection between the two.
Cooper walks in and out in front of the security cameras, for whatever reason. When he walks back into the security room, Jeffries walks past but the footage shows Cooper still staring at the cameras. This has something to do with Cooper's soul being trapped--again, that's just one interpretation.
Jeffries had disappeared while on a case. In a early draft of Fire Walk with Me, it was said he was in Buenos Aires with Judy--an unseen person who is mentioned throughout the film. There's been theories that Judy was another of BOB's victims before Theresa Banks and Laura and there's been theories that she was Josie Packard's sister. No one's quite sure but that's why Jeffries says "we're not gonna talk about Judy" and "Judy is positive about this."
When Jeffries points at Cooper and says "who do you think this is there?", it seems to imply Jeffries know what's going to happen to Cooper--or what has happened to Cooper, time is non-linear in The Black Lodge. The television static throughout the scene represents The Black Lodge and its inhabitants.
Then comes the really surreal parts. The meeting of Black Lodge inhabitants above a convenience store. It's important to note MIKE's appearance in Cooper's dream in "Episode 2" when he said he and BOB "lived among the people" above the store. This is either a physical place where Black Lodge inhabitants go to collect/feed on garmonbozia ("pain and suffering") or part of the Black Lodge itself.
The Man from Another Place (MIKE), BOB, Mrs. Tremond/Chalfont, her grandson and four other spirits are there. Who or what exactly the other spirits, no one's quite sure. It's implied that the spirit in the red suit and mask is "The Magician" who "longs to see" from the Fire Walk with Me poem, as his mask has no holes. Mrs. Tremond/Chalfont's grandson also wears the mask.
The grandson also points at BOB and says "fell a victim." My own interpretation is that he cannot collect garmonbozia as MFAP (MIKE) has given BOB's victim the ring, meaning only MIKE can consume it. This is why BOB antagonizes MIKE and summons the fire.
Jeffries disappears from the FBI office and the front desk said "he was never here." However, he's seen by Cooper, Gordon and Albert and shows up on the security footage. Seeing as the security footage shows Cooper's soul (or so my theory goes), then it shows Jeffries' soul/spirit too.
Also, this scene wasn't supposed to be as confusing and surreal as it is. It was supposed to be two separate scenes: one showing Jeffries explaining everything and one showing the convenience store meeting. Lynch had to combine the two to save time.
To sum it up: Jeffries most likely visited/was taken to The Black Lodge while investigating a case and the whole scene is a recollection of his experience.