• Why wasn't Walt at the afterlife party? Or Nikki and Paulo? Or Ana Lucia? Or. Mr. Eko? They were all on the plane in the original crash.
• Why did that sequence of numbers keep reappearing? And how?
• What was the origin of the island sickness that prevented women from giving birth?
• And why was Claire the exception to that sickness?
• If Smokey was responsible for all those appearances of Christian Shepard, and Smokey couldn't leave the island, then how do you account for that one time Christian Shepard appeared in Los Angeles?
• Why did The Others take flight attendant Cindy, but none of the candidates?
• Why did The Others dress up like hillbillies during Season 1 and 2, but not so much at other times?
• What accounted for Locke's sudden ability to walk after the plane crash?
• How did Rose become cancer-free?
• And why couldn't Ben be healed if Locke and Rose could?
• Kate's black stallion — where did that come from? (Was it Smokey?)
• Whatever happened to Clementine, Sawyer's daughter?
• Did David, Jack's son, ever exist?

There are probably thousands of other questions….

Again, I came to accept mid-season that they were never going to answer ALL these questions, but some of these omissions are a little glaring in that the writers spent a great deal of time up-playing their significance (i.e., the numbers, the island sickness).

Perhaps the other frustrating thing about the show was the arbitrary "rules".  For example, Ben couldn't kill Widmore and Widmore couldn't kill Ben.  Those were the "rules" they set out — much like the "rule" that Jacob and the Man in Black couldn't kill each other.  So, because of the Ben-widmore "no killing" rule, Ben spent a lot of time and effort going after Widmore's daughter (Penny), or getting Sayid to kill Widmore's associates. 

Yet, in the final season, who pumps lead into Widmore?  Ben.  Why didn't he just do that when he had the chance…. many times?