These are my own thoughts on both the finale and the TV series as a whole. It's been an incredible ride and the finale is certainly up for interpretation. At first I felt more confused than I did watching the Sopranos finale, but all of it sank in slowly and I did feel a calm and understanding sweep over me.
Does anybody still remember that the genius touted for the sensational pilot and first season of LOST was J.J. Abrams? Even though he was obviously instrumental to the early success of the show, the show as we all remember it now really belongs to Carlton Cuse and Damon Lindelof. What they did was revolutionary in making a show that went back and forth between science and spirituality. A show that debated the many extremes of light/dark, science/faith, free will/destiny, time/memory, etc.
This thematic shift worked for me because I am a fan of opening myself up to all subjects of interest. I have no problems with being a "jack of all trades, master of none." However, LOST picked up a lot of the nerd sci-fi audience with the Dharma and time travel seasons, and I would guess that many of them are dissatisfied with the spiritual turn at the end.
The one core element, especially from the 4th season onward (when the show had set a final episode count) was love. Whether it was couples or families, this really came through in the finale, which I'll discuss below. In fact, a spoiler had come out over a month ago that when asked whether Lost was at its core a love story, Damon Lindelof replied, "You are the very first person ever to get the meaning of the show. Yes. It is a love story. Always has been...always will be."
You can call the flash-sideways purgatory, or heaven's waiting room, or whatever you want. I thought it was explained pretty well by Christian Shephard. Everything else Jack had gone through was real. This world was just a path for him to let go. To not just live together then die alone. To rediscover those he loved and accept their love. Remember when Locke said that Jack didn't have a son? I think Jack's son was just a way for him to come to terms with his love for his father. Time did not exist in that sideways world. All those people had died at different times, but brought together by their love for each other. A clear example that time had continued to move on in the real world before they all died and went to sideways world was when Hurley and Ben had the exchange about being great number one and two, suggesting that they had continued life (which ended) as protectors of the island.
The actual island part of the story left a lot of questions, however. Wasn't the plane rigged with Widmore's explosives? What actually happened with the unplugging of the light and MIB's return to mortality? What was going on with Desmond, who sounded like he thought the sideways world was how it should be and wanted to get there?
So what are your theories? I know one of the more prevalent ones believe that this was all Jack's test. He was the "lost" one and this was about him coming back to faith. I'd be ok with that theory except for Christian's insistence that everything on the island was real. To me that throws a monkey-wrench into that whole theory.