I think all the events happened in a natural progression. I can't believe some people are suggesting it'd be a better show if it was just about some people that got stuck on an island. All the twists that happen (the hatches, the moving island, the time travel, the insane Locke stuff) had been built up to in a way that, although still shocking, is believable in the world of Lost. And it doesn't straight up give you answers - the writers want us to speculate, to be intrigued.
You should have decided whether this program is for you or not from the very first episode where a polar bear runs out the jungle and a T-Rex is apparently running amock. Either you think it's all a load of toss, or you get intrigued and want to carry on watching, speculating. And if you took the latter option then you should have been prepared for everything that was going to happen.
Above all though, I just think this is a beautiful program. No other show gives me chills down the spine like this one. The characters, camera shots, music and script are all so well developed. Like in (I think) the last episode of Season 4 where Locke and Ben are at the greenhouse - Locke asks what they're gonna do about the armed men. Ben exclaims he always has a plan. Cue the slow but dramatic music and the slow motion footage of Ben slowly walking up to the armed men, whilst cutting to shots of what was currently happening to the other characters.