"Between Two Worlds" is a featurette included in the Twin Peaks: The Entire Mystery and Twin Peaks: From Z to A Blu-ray releases. It features David Lynch interviewing Grace Zabriskie, Ray Wise and Sheryl Lee, first as their characters (Sarah Palmer, Leland Palmer, and Laura Palmer, respectively), then as themselves. The second portion of the featurette was later released in the Criterion Collection release of Twin Peaks: Fire Walk with Me. The Palmer family interview was written by Lynch.
