So the owl ring
The implication from FWWM was that putting on the ring protects the wearer from being possessed by BOB. When Laura's in the train car and BOB is threatening to take her body, MIKE tosses the ring into the car. Laura puts it on and enrages BOB, who chooses to kill Laura instead.
In this episode, we see that the when someone wear the ring and dies, the ring not only returns to the Black Lodge, but takes its wearer with it.
Do we know/see what happened to the ring after BOB killed Laura? Is Laura in the lodge in the first place because she was wearing the ring when she died, and the ring brought her there? Is that why Cooper warns Laura not to put on the ring in FWWM, knowing that if she wears it and BOB kills her, she'll be trapped with him in the lodge?
The simplest explanation is that if you wear the ring, the Black Lodge owns your soul.
Note that Ray's physical body isn't transported to the Lodge; his soul is. Just like Laura's soul was transported there but her corpse remained in the real world.
What happened to Ray (and Laura, and Teresa Banks) is distinct from what happened to Dougie. Dougie's still-living physical body was pulled into the Lodge. This also may be what happened to Chet Desmond.
Speaking of the ring, does the fact that Ray had it imply that MIKE is the Philip Jeffries impostor? Dougie had the ring, it returned to the Lodge when Dougie was pulled in, and then presumably MIKE gave it to Ray. This would go along with fake-Jeffries saying "I'll be with BOB again."