I don't think there is a show on TV that can compare with the writing style that Lost has had...at all.
But I will second(third?) the comment about Buffy. It was the first serialized drama I had ever watched in full..and it was a great first show. That's find it similar to Lost in the sense of I think it gets better in the later seasons than the early ones..and you can't say that about a lot of shows.
Weeds is a great show also..very awesome. This show compares to Lost because of ending season finales with just incredible cliff-hangers. Could say the same with True Blood.
As for another great ensemble serialized program..I really do reccomend Heroes. Some fans don't like it past season one(i'm not one of them)..but if you watch the first season..you'll most definitely watch the rest.