Lost is an experience more so than most shows
Definitely this, moreso than any other piece of entertainment I've ever gotten involved with.
To the OP, as has been mentioned, it does drag a bit in the middle (due to an unclear end date, writers strike, etc) but then picks up. Just remember this show is somewhat of a scifi show at its core, so you'll kinda need to suspend belief towards the 2nd half of the series. But that shouldn't be too hard given that at the point you're at now you've already encountered polar bears on a tropical island, a smoke monster, and visions of dead bodies walking around.
Starting with season 4 it really goes in some crazy directions, but if you don't fall victim to "well this is stupid and unrealistic, this could never happen! It doesn't make sense!" and just enjoy it for what it is, a form of ENTERTAINMENT, you will not regret it at all.
Also count me in the camp that loved the shite out of the finale. The last few minutes are some of the most gripping I've watched on TV.