A Hula doll was found by Charlie in "Catch-22". It is assumed that the doll fell out of the helicopter which crashed near the Island. As it was not in the bag with Naomi's other personal items, it's likely that the doll could have been on the helicopter dashboard, or in Naomi's hand as she jumped.
Annie presented Ben with a pair of hand-carved wooden dolls in "The Man Behind the Curtain", designed to represent the two of them. These dolls were a birthday gift, and Ben continued to cherish the "Annie" doll throughout his adulthood. The whereabouts of the "Ben" doll are unknown.
Claire kept a substitute baby doll constructed from an animal carcass and fur in a cradle in her hut on the Island, evidently as a replacement for Aaron, whose whereabouts were unknown to her. ("Lighthouse")