Laura Palmer is played by Sheryl Lee.
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The show begins with the discovery of Laura Palmer's body, so technically she was murdered before the show begins. I believe then, that the first person murdered on Twin Peaks was Bernard Renault.
Mark Frost has: Played himself in "The Phil Donahue Show" in 1967. Played himself in "Kelly" in 1989. Played himself in "Jonathan Ross Presents for One Week Only: David Lynch" in 1990. Played TV Newscaster in "Twin Peaks" in 1990. Played Himself - Co-Creator and Co-Executive Producer in "Secrets from Another Place: Creating Twin Peaks" in 2007. Played himself in "The 50 Greatest Television Dramas" in 2007. Played himself in "Perfect Night In" in 2007.
David Patrick Kelley (Kelly?)
There were two seasons and a prequel movie " Fire Walk with Me. "
Kimmy Robertson from Twin Peaks