Has two main definitions - the show on ABC, and the game.
The show follows a common "surviving stranded on an island" theme, where a group of people who's plane crashed have to get past five million and one obstacles to stay alive.
The game Lost is very unique. Everyone has their own "invitation URL", and the idea is to get someone to visit it within a certain timeframe. The faster someone clicks the link, the more points you get. It costs no money to play the game, but at the end, when there are seven million players, the players with the highest points get cash prizes from 500 - 5000 dollars.
If you want to play, google anything with "lost.eu" and you'll probably find someone's invitation code.
Lost is a really popular T.V. show - kids are even starting to dress as lost characters for Halloween.
Lost isn't a really well-known game. Most people don't even know the URL for the site.