I've got only one major theory in regards to LOST in the long run, and it revolves around the series finale and the two mysterious corpses found in the caves earlier in the series identified only as "Adam and Eve."
The producers of the show have said two things about LOST that give me a vague idea of who Adam and Eve are:
1) They say the placement of the two bodies proves their knowledge of where the show was going from the beginning. 2) They say the end of the entire series will be typical of LOST in its shock factor.
I believe the show will completely close with the revelation of who the two bodies are. I've even heard a rumor that we won't know the true nature of the smoke monster until the final episode, so why not also Adam and Eve?
Going on this, my theory is that the two bodies are Jack and Kate. Their romance has been a major theme of the show. It is possible that one of the two, or both, will be mortally wounded at the end of the show (50 years before our "present": back around the time of "Jughead," which is not very strange considering that time period appears to be very important in the island's history, considering the involvement of the American military and the presences of Widmore and the girl who may possibly be a young Eloise Hawking). Perhaps the show ends there, in the 50's, and Jack and Kate end their time in the caves, together and with death approaching. Fifty years later, Jack examines the bodies. He also has with him the two stones that he originally took off the bodies in the future, providing another time loop such as Locke's compass. The stones therefore have no origin, and serve only a symbolic purpose. Also, Matthew Fox is the only cast member who currently knows the end. Possibly because it focuses on him? End shot of the series: Kate and Jack lying together in the caves.
I'm not as firmly wed to the idea that the bodies are Jack and Kate as I am to the series ending with the revelation. For all I know, it could be Desmond and Penny, Dan and Charlotte, or Kate and Sawyer. Regardless, I believe that the identities of the two bodies will be the ending shot of the entire series.
Traditional LOST shock factor. And great ending.