I've just finished season 1 (watched in 10 days) and I must say that this is probably the most creative piece of television ever since the times of Twin Peaks (early 90's). All the characters have something about them, something deep, dark and yet lovable. Another thing I love about 'Lost' are flashbacks in every episode. That's what probably makes the show so good. We know these people and we've seen their behavior on the island but we've never seen them in their lives. What are their motives? This really is an amazing show - the writing, acting, directing, entire story telling is just unique. Bravo!
Update: The later seasons (currently on the 5th one) are not that entertaining but I intend to watch it all the way through the series finale.