Laura and Audrey are both dreamers. Audrey goes insane after the trauma she experiences post-Season 2 and invents a world for herself where she's miserable and confused, but at least she hasn't been raped by the person she liked and forced to carry his bastard child for the rest of her life. Charlie mentions the "little girl who lives down the lane," and threatens to "end her story." Charlie is a figment of Audrey that wants her to wake up. She's not ready then, but when she runs to him and asks him to "get me out of here," she wakes up, likely in an institution of some sort. She's staring in a mirror because the dream is a reflection of what she could have been, what she would have preferred to be. She is a dreamer who dreams and then lives inside the dream, and then she wakes up. Charlie mentions that she's not the first person whose story he's ended, which means that Audrey may have escaped into many other dreams before, with Charlie and his role as an awakening force being perhaps the only consistent factor in them.
Laura dies and as she dies she dreams. Caught between life and death, she doesn't dream of a life for herself where she turned out differently, but of a world where she never existed to begin with. She didn't rewrite her tragedy, she retconned it and lived far far away from the possibility of that ever happening. Her life is miserable in Odessa, but at least she isn't Laura Palmer, raped and murdered by her own father. She is dead, yet she lives in the dream.
Cooper wants to save Laura Palmer. The ARM tells him that it's the story of the little girl who lives down the lane, which may be a catch-all term for dreamers who dream and live inside their dream. Directly after the ARM tells this to Coop, Leland asks him to find Laura. This is how Cooper knows she's in a dream. He and Diane go 430 miles away from Twin Peaks to a massive power station of some kind, and know that crossing it will take them somewhere else, and that everything will be different.
They go to the motel and Cooper gets him room key from an unseen force. Diane sees herself - Linda, waiting to merge with her in the dream. They go into the motel room and have sex. Literally, an intercourse between two worlds, mentioned by The Arm in FWWM. But that sex is not the intercourse he referred to - what's really happening here is Cooper becomes one with Richard, and Diane becomes one with Linda. Richard has more in common with Mr. C than Diane was ready for, and while she has sex with him she realizes that once again, she's been forced into sex with a Cooper who was not her Cooper. She can't take it, covers his face until it's over, and leaves while Cooper sleeps. Maybe she left before their place between worlds took them into Laura's dream, or maybe she escaped into Laura's dream to make a new life for herself there. It doesn't matter.
Cooper wakes up, now fully in Laura's dream. He finds Judy's, the restaurant Carrie Page works at. Judy being the evil inside Sarah, and the evil Mother herself, it makes sense that she would never be far from Laura, even in a dream. Cooper finds Carrie and takes her back home, but because Laura has dreamt up a reality where she and the Palmers never existed, that house belongs to the Tremond's. Just as names and faces we see in our waking lives follow us into our dreams, the woman she meets in FWWM who gives her the painting sticks with her, and becomes a part of her dream. Cooper's confusion, the names of Tremond/Chalfont, and the appearance of the house itself finally cause something to snap in Laura's dream, and she remembers her mother calling her name, waking her up for school as she did so many times. She remembers everything, screams as her tragedy comes back to her, and the lights fade and she wakes up. But where Audrey had some shred of a life to wake up to, Laura has nothing. Coop, existing now solely as an entity in Laura's dream, goes into nonexistence with her.
Coop is like a dreamer because he dreams about saving Laura, even though it may not be a dream we see. He follows this dream so passionately, and believes in its possibility so fervently, that he follows Laura into her own dream. He is like the dreamer who dreams and then lives inside their dream, but he is not the dreamer itself. Laura is the dreamer. Season 3 happened, and so did seasons 1 2 and FWWM. Those characters are still real, went through what they went through, and will continue to live their lives now that Cooper is gone.
It's just a change, not an end.