The Twin Peaks General Store was filmed in Monrovia, CA, at what was then Valley Hardware Toys & Trains. Little was changed about the store for the shoot other than a few clever additions like the Twin Peaks sign above the model train depot and the painted sign on the store windows.
While researching this location, I became more and more excited about seeing it in person because I knew from various reports that it still looked almost exactly like it did in the show. While surfing the web for photos of the store about two months prior to my visit to California, I came across a very recent photo in which all the windows were papered over and a "closed" sign was posted on the door. I was devastated (embarrassing, but true). Sure enough, when I drove up to the location, it was completely shut down. No more trains, no more hardware, NO MORE COTTON BALLS!
Myrtle Avenue, the street where the hardware store is (as well as the bakery from the deleted scene) was slated to be used as downtown Twin Peaks. I think it would have worked quite well, as you can see below. It's too bad we never got a chance to see it in the series. It would've been so interesting if there were more scenes filmed "on location" in the town of Twin Peaks. By sheer coincidence, the street lights in Monrovia are nearly a match to the ones outside Horne's Department Store, which was filmed in Washington State.
As Norma is walking on the sidewalk toward the entrance to the general store, you see this Senior Center sign across the street.
Below: Two photos of Valley Hardware before it closed for good. Notice that the model of the town and train were still in the window.