I have a few suggestions why Laura is crying at the bar when "Questions in a World of Blue" plays:

Now remember the lyrics:

Why did you go?

Why did you turn

away from me?

When all the world

seemed to sing

Why, why did you go?

Was it me?

Was it you?

- Laura now knows that BOB and Leland are the same, and she is mourning over the loss of her father, the happy man she knew as a child, he was supposed to be her protector, now learning that the father she knew left her long ago.

- Shortly before this scene, you see Laura's angel disapearing from the picture in her bedroom, and upon hearing this song, she is crying over the loss of her angel, knowing that there is no-one left to save her.

- Laura knows she is going to die in the near future, whether self inflicted to stop BOB from possessing her, or murder at the hand of BOB. and she knows the ramifications of leaving this world, how it would affect her mother, Donna, and James, both losing them, and they losing her.

- She is morning the loss of her innocence. Through the sexual and emotional abuse, prostitution, sex, drugs, alcohol and corruption, she is no longer the Laura she was, and the Laura everyone loved and cared for.

- A combination of the above possibilities

Comments?

i agree mostly... Music is highly important in Peaks, including the Diegetic music. As is light/electricity. Julee Cruise's performances tend to be evocative, prompting in the characters an intuitive (but mostly undetected) realisation of events/emotional changes to come.

Julee being swathed in blue light, singing a song about 'Blue' reveals to Laura her fate, but also strips away her aggressive, confident persona.

Music is connected to truth, prophecy, and the otherworlds that touch the events of twin peaks