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Who's coming? Well, Jacob expects he put the wheels in motion to get the Losties back to 2007 to somehow intercept the Nemesis' plans. Unfortunately, the bomb did not detonate when Jack dropped it down the shaft. Valuable time was lost that allowed Jacob to be killed. However, Juliet put the wheels back in motion for the Losties to return to 2007, but not before Ben plunged that knife into Jacob's chest. Nemesis is surprised "they're coming" because he figured if Jacob was killed, the Losties would be stuck in 1977. Well, the bomb did detonate and instead of Jacob saying "they're coming", he might as well have said...."they're baaaaaaack!" That is...Jacob's hand picked army, the Losties! Nemesis will wipe out the "Others" who followed Jacob for decades. The Losties will vindicate Jacob's death and will be the new protectors of the island or "Others".