I spent a while trying to put together my thoughts on the Lost finale, but I think the New York Times did it better than I could:
There were three reasons to watch “Lost” — or to stick with it, more aptly, across six immensely engrossing and immensely frustrating seasons. You could watch for the characters, who were two-dimensional and archetypal in a way, but rich and relatable and even lovable in the way that great pulp casts can sometimes be. You could watch for the thrill of it — the endless cliffhangers, the constant narrative whiplash, the mobius-strip plotting, and the way the show could blithely disassemble and reassemble its narrative architecture (flashbacks followed by flashforwards! flashforwards followed by time travel!) and somehow have the whole thing work. And of course, you could watch for the macro-plot — the mythology of a mysterious island, which layered puzzle atop riddle atop intrigue like no show since “The X-Files,” promising all the while (or seeming to promise, at least) to be building up to a revelatory denouement.
Like the author, I was into the latter aspect of the show, and its conclusion was pretty disappointing.