When Cooper enters the BL in the final scenes, it is fairly clear what happens -- he meets his doppleganger, he faces it with imperfect courage (he runs from it), and when his doppleganger contacts him, his soul is annihilated. His body is then free to be inhabited by BOB when it returns to the physical world. Coop actually loses his soul in the BL to Earle, when he agrees to Earle's deal to let Annie live. Earle takes Coop's soul with the act of stabbing him in the BL. Note that it seems that anything that happens to physical characters in the BL must also happen in the WL world, but because of the relative time-scales things don't happen in the same order. Thus, when Coop is stabbed by Earle in the BL it is the same act that occurred in Pittsburg in our past. Also note that in the BL Coop comes across the dead body of Caroline. In the BL, prior to taking Coop's soul, Earle has killed Caroline and taken her soul. He was able to take her soul because she is not one of the 'gifted'.

However, Coop is one of the gifted, and as such Earle does not have the right to take his soul. BOB then intervenes to turn back time (remember that Earle has earlier stated that the power of the BL is such that one could re-order the world to suit one's self -ep26). The hint that BOB is interfering with temporal progression within the BL is that Coop begins to bleed from the wound inflicted by Earle before it occurs, the bleeding gradually gets worse, up until the moment the wound occurs, at which point it stops. So, Coop still has his soul when it is annihilated by his doppleganger (which is probably what BOB wanted all along). But if Caroline's wound in the BL is echoed in the WL, that would mean that she would have to have been present physically (like Coop is). I think that the soul of Caroline is actually in Annie. Recall the strange links between Annie and Caroline in the BL when one speaks as if she is the other, and their images alternate (ep29).

Earle took possession of Caroline's soul, but when BOB takes the soul of Earle, her soul is again free. When she was younger Annie attempted suicide, and this was Caroline's chance to inhabit a body whose soul was eager to give up possession. She then sought and eventually found Coop, so that they could be reunited (although Annie isn't consciously aware of this). So, ironically, when Earle brings Annie into the BL, he sets off a circular chain of events that eventually lead up to him bringing Annie into the BL! The stabbing happens to Caroline and not Annie in our world, because at the time the stabbing occurred, the body holding the soul of Caroline was Caroline's body, not Annie's.

[ note that when BOB leaves Leland he[BOB] says "I have this thing for knives. Just like that thing that happened to you in Pittsburg that time, huh Cooper?" Bob knows about this incident not because he actually performed the stabbing, but because in a sense he was there (in the BL version of events at least). ]