The epic ABC show that everyone talks about. If you are confused about any of it, this article might help you out.

[edit] Steps

If you are new to the show you absolutely must start from the beginning of the series. (if you don't then you won't know a single thing and get "lost")
Buy the DVD set or go to the ABC website (episodes are on there) to begin your LOST experience.
Set up your Thursday nights so you can watch new episodes at 9 p.m. and, if you missed last week, recaps on at 8 p.m.
Watch movies like Pulp Fiction where the story telling shoots the scene in one view point in one time to a relating character in the past or future.

[edit] Tips

Be very attentive because if you miss something from a flash back you can literally get "lost" with in an episode.
Episodes show weekly so don't forget what you've learned from a previous episode.
Be careful not to get a flashback confused with either the present time or a flash forward.
Around the end of the third season and into the fourth season the show incorporates flash forwards with flash backs so don't miss them either!
Go to ABC.com or talk with other people to develop theories about certain things.
EVERY detail is important no matter how small it is (it'll come back into the show at some point).

You might get somewhat frustrated if you don't start at the beginning.
This show can be slightly addictive.
You may begin to despise the fact you started watching the show as you will find you cannot stop watching no matter how bad it gets.