Who is Dale Cooper really?
In the universe of Twin Peaks, there are clearly supernatural beings and lodge entities, and there are people. Ordinary people are in a way "pushed around" by the supernatural stuff, since they don't have the will required to oppose spirits like BOB, or the ability to navigate the supernatural. If they ever do interact with the supernatural, it happens on the supernatural's terms.
Now, Twin Peaks is heavily loaded with Buddhist philosophy, so I think it's fair to build on that. The idea of Buddhism is to become enlightened and to escape the rebirth cycle and the material world. We know that Cooper meditates and does yoga, which could mean that he is quite advanced on the path to enlightenment. I think in the Twin Peaks universe, that would mean approaching the state the supernatural beings and entities are in on the spiritual level. When Dale is shot he is visited by the Fireman who says "The question is, where have you gone?", which suggests that Cooper isn't inhabiting his body at this point. Also, if we were to listen to his tapes, the exchange between Cooper and the Fireman isn't there, but his other thoughts are. This is interesting, since the whole thing must either be a dream, or Cooper went somewhere. I don't think there was a single instance of the Fireman not being truthful, so the latter must be accurate. That would imply an out of body or out of the material world experience for Cooper. Considering that he learned his throwing-rocks-at-bottles method from a dream he had 3 years before coming to Twin Peaks, which means also before the murder of Teresa Banks and the Philip Jeffries episode, I think it is safe to assume that Cooper's dreams and visions can be at least partially attributed to his own abilities.
In season 3 Cooper electrocutes himself and finally manages to escape the black lodge after 25 years with his spirit intact. That is remarkable because it looks like his courage was imperfect when he was in the black lodge in season 2, and so it should have annihilated his soul. But that didn't happen. Which means that there must be something different about his soul that the black lodge couldn't touch. I assume it must be love, something that comes straight from the white lodge.
I don't think that Cooper was created in any way by the white lodge, like Laura Palmer was, but I think he has a firm connection to it. In the Twin Peaks universe, Buddhism should be a path to the white lodge, so in my opinion Cooper must be at least partially enlightened and so able to face the black lodge without the consequences being too dire for him.
And then there's the last scene in FWWM where Laura sits in the waiting room, then sees an angel and starts laughing. Cooper is standing next to her in that scene. But how could he even be there? And what does it mean if he is in the company of an angel, who probably should be seen as another manifestation of the white lodge, and Laura who is pure light?
After all of this, I come to the conclusion that Cooper is possibly a bodhisattva, someone who has attained enlightenment in one of his previous lives but has decided to be reborn again to help others attain enlightenment too. I think this fits really well with Cooper's personalty and philosophy, as well as with his job, since it makes him an agent of the Good.