Abusive Parents: Specifically, Sarah Palmer. Why in God's name didn't she try to get some help for Leland? During the dinner scene, he psychologically abuses Laura right in front of Sarah, and his behaviour is way beyond normal overprotective parenting, even if he had a legitimate reason to suspect Laura of seeing multiple boys.
Les Yay: The hints of some sort of romantic attachment between Laura and Donna are more explicit in the movie than the show. The fact that Laura was only seen alive in one shaky home-video-style scene in the show kept things pretty ambiguous, but the film shows a Romantic Two-Girl Friendship that might have gone somewhere else if Laura wasn't so afraid that her sexuality in general would corrupt Donna.
One-Scene Wonder: Loads of these. David Bowie shows up for all of a minute as Agent Jeffries (whose role in the shooting script was slightly larger), Harry Dean Stanton as a bizarre trailer park landlord, etc.
Tear Jerker: Dear God, the ending scene in the Red Lodge after Laura's death. We see Laura's spirit, despondent, until she sees that her angel has returned to her, and begins to smile and cry. Sheryl Lee's acting in that scene is something that has to be seen.