Disclaimer: Personally, I can't stand Lost. I feel like the "writers" are basically just making it up as they go along and letting other people fill in the blanks, and the entire thing is just a big game by the networks and the producers to see how long they can string the public along without REALLY telling them anything.
With that said and out of the way, here are my theories.
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So the episodes which HAVE provided tiny snippets of information seem to be building towards one thing, something I've had a hunch about since I first saw the statue in the water.
The "island" on Lost is/was the location of Atlantis.
I've recently been doing research on Atlantis (the REAL Atlantis, not the Stargate variety

) for an archaeological paper I plan on publishing, so I'll be drawing on some of that research in this post.
The first clue, as I said, was the appearance of the statue. As many of you will most likely know, Plato's original account of Atlantis stated that it was "beyond the pillars of hercules". In mythology, statements often have multiple meanings designed to confuse; the theory being that those "worthy" would see past the obvious to the hidden meaning.
In this case, however, the reverse may apply; while the Pillars of Hercules are a geographical feature located at the mouth of the Strait of Gibraltar, they may also refer to the more
literal "pillars of hecules" - ie, the legs of a statue of the legendary figure. If the entrance to city of Atlantis was, in fact, flanked by the legs of a giant statue (in much the same way that the entrance to Rhodes was flanked by the Colussus), it would certainly explain Plato's description, while providing a heavy misdirection so common in similar accounts.
Further evidence to support the Atlantis connection comes in the form of the ruins, the mention of a "temple" (possibly native architecture?), and most importantly, the events of the season finalé. Specifically, the room containing the multi-spoked wheel, with the (probably unnoticed by most) pictographs/writing on the pillar which held the gas lantern. This is clearly an example of native architecture rather than a construction by the DHARMA Initiative, and lends more credibility to the concept of the island being the location of a lost civilization.
The "disappearance" of the island as well, after it is moved, fits with Plato's account ("
and the island of Atlantis in like manner was swallowed up by the sea and vanished;"), after allowing for the tendency of historians to exaggerate.
This also provides two interesting possible explainations for the existance of an advanced civilization existing at least 10,000 years before the emergence of civilization in Europe.
Firstly, that the emergence of homo sapiens sapiens as the dominent species in Europe was preceded by a separate offshoot of homo erectus which evolved on the island. This would account for the four-toed nature of the statue, and assuming they evolved at a similar or increased rate as homo sapiens (due to the climate on the island), would also account for their ability to develop greater forms of technology than we have so far been able to, possibly due to a lack of conflict in their society (which we know now is caused by genetic predisposition) leading to greater co-operation and therefore a faster development of civilization.
Or secondly, that the inhabitants of the island are actually from the "future", from a time when the human race has evolved to the point where a fifth toe is unnecessary (many geneticists have theorized that modern conveniences regarding travel are leading to certain traits which previously aided mobility being eliminated from our DNA). We know now that the island has a somwhat "flaky" connection to the 4th dimension, possibly only connected via a very small three-dimensional tunnel to the rest of the world, hence why objects crossing the boundary at other locations experience severe time dialation (apparently directly proportional to their mass and possibly distance from the tunnel). It stands to reason, then, that the original inhabitants of that island may in fact come from ANY time period, and in fact shifted the island back in time to the ancient world for reasons unknown, possibly to escape war or for archaeological purposes, etc etc.
The last justification for this theory is the name of the show; it is the
"Lost City of Atlantis", after all.