The shooting script of episode 2 states that it is the shadow of a bird. It is believed to be the one of an owl. BOB's connection to the owls of Twin Peaks might be the reason it is shown in this dream, as a warning to Agent Cooper. Many believe it to be a UFO, supported by the focus heavily shifting to the idea of UFOs and space life contacting Agent Cooper. Major Briggs is an example of the show's shift toward the idea of UFOs. There is also the possibility of it hinting at Cooper's future experiences with extraterrestrial life.