Defective Yeti has a great post on the perverse appeal of Lost (no spoilers):
An episode ends with someone on LOST finding a leather-bound tome entitled "Secrets of the Island." Yes! Finally we'll learn what's going on! But in the next installment, that person opens the book to discover that the whole thing is written in ancient indecipherable pictograms. Dammit! But in the last five minutes, someone notices that the final third of the book is blank, and the ink of the last entry is fresh! "It's a work-in-progress," says Major Character. "Someone is still writing it!!" And in the last five minutes of the next episode it is revealed via flashback that Other Major Character studied Ancient Indecipherable Pictology in college--holy shit!!!! And this goes on for three more episodes, at which point Major Character confronts Other Major Character with the book, and he (O.M.C.) confesses that he is using the book to record the movements of the other castaways, but only because a giant, ambulatory, sentient coconut threatened to kill him if he didn't. And you, the viewer, are, like, "well, I'm glad the mystery of the book is cleared up BUT WHAT'S THIS ABOUT A GIANT AMBULATORY SENTIENT COCONUT??!!!" Lots and lots of clues (and episodes about clues), but you're not one jot closer to understanding the central mystery. And meanwhile the LOST prop department is hastily burying the book in a Superfund site, hoping that no one remembers the title.