To the poster who said that they were in purgatory the entire time, I completely disagree.
Everything that happened in the show up until the 6th season actually happened and was real. People died, people were born, and they lived out their mysterious lives on this island.
In the 6th and final season, they replace the flashbacks with forwardflashes, which did take place in a sort of purgatorial afterlife. In all honesty, it was the only way to end the series on a positive note. Everything else in the show, featuring sin and redemption, could only be satisfied by a character’s death. They found redemption on the island, but only by sacrificing something they loved.
Was I entirely thrilled by the ending? Absolutely not. I thought they went astray by introducing time travel and killing Locke. But it wasn’t my story to tell, it was Lindelof and Cuse, so while I can get mad at their choices, I still understand that they were their choices. And because of that, it may not be the best show of all time (that award goes to The Wire), it is my favorite.