I have never seen a single episode of Lost, but I have DMed a lot of D&D. One thing I've noticed is that players presume you KNOW everything, and are only doling out info as you see fit.
Much of the time this is how the players see the DM. The truth is that (in my experience) much of the time the DM has only a vague idea whats currently going on, let alone what is to come.
How does this relate to Lost? Well, if you have to ask, you probably haven't been playing attention the last 6 years. It's a show that hints at lots and lots of things, and judging by what people are saying about the last episode, it either explained some stuff, or didn't explain enough stuff, or it didn't mean anything in the first place.
Either way, the fan base has been speculating about the meaning of the show since pretty much the beginning. They've come up with wild theories to try to make sense of it all, because they presume that the show made sense, that the writers had a plan, and that if they could figure out what that was, that it might reveal some deeper meaning to the shows mythology.
Why is this important? Because it means the players will fill in the blanks for you. Give them something to grab hold of. Repeat a motif, a number, give them a shadowy antagonist, and let them fill in the blanks. What does that red diamond in a white circle mean? Why is it repeated? Chances are that the ideas they come up with together will be more exciting that what you come up with on your own.
Special note to players - Please conjecture! Come up with outlandish ideas for what is going on. You never know when you might be right!