Lost is one of the best and most surprising shows on television at present. Unfortunately, I have a hard time getting in front of a TV at regularly scheduled intervals, so I've missed nearly half of the shows that have aired thus far (damn I want a TiVo!).
The core of the show is its focus on character development and revelations that continue to surprise and delight well into the first season. Can the magic show keep up? That's a good question to be asking, and as a fan of Alias, I can say that J. J. Abrams has quite a few tricks of his sleeve. Alias: Season One had the same revelatory/exciting appeal, yet I can argue the franchise is still going strong heading into Season Four.
Another appealing aspect of the show is that it does defy genre. It may not be a sci fi/fantasy show at all, but the fact that it might does give it that aura and appeal.
I'm not entirely sure why, but Lost reminds me in some ways of the 60s cult show, The Prisoner. Perhaps it's because the title character, like the cast of Lost, is never sure of the nature of his confinement. Additionally, nasty (and actually surprising) surprises turn up often, and things rarely are as they appear (the episode where The Prisoner believes he's back in London, only to find out he's still on The Village is classic).
To sum up: J.J. Abrams, creator of Alias and Lost, carries the torch for network TV nowadays. Now if only he can somehow lure back Joss Whedon (creator or Buffy the Vampire Slayer, Angel, and Firefly)!