Well, here is how I would do:
1. Make two (or more) cylinders close to each other, use "convert to mesh" and "join solids" comands so you'll get one mesh consisting of two cylinders... and then use twist modifier; the only problem is that the twist modifier has limit of 360 degrees, so you would have to use it many times...
2. Use a spring plugin (I think you will vind it in the "scripts" section...); if you make two springs and play with "diameter", "offset" and "spread" parameters, you can gat a very nice result;
If you need just a simple ilusion of twisted rope, you can also use one spring with "offset" 0 and "sides" 3...