I watched Lost with great interest its first season, then I gave up in the second season when it started getting absurd and going off on tangents.
I picked it back up again last season because I mistakenly though it was going to be the last season... when I realized that it was going to be going for another year, and it still seemed to be going off on tangents, I gave up. I've watched most of this season, mostly just to see how it all ends, but it's still very disappointing.
Long story short, there's A LOT of better shows out there to invest your time in.
Band of Brothers is 1000x better than Lost. I'd definitely watch that first.
I think you've already watched The Wire, but if not, that's great too.
As far as series go, Deadwood, Sopranos, Dexter are all no-brainers if you haven't seen all of them.
I've toyed with rewatching X-Files from the beginning.
Twin Peaks is another one I recently watched all the way through (only two or three seasons long in total) but it gets extremely weird, even by Twin Peaks standards, by the end.
Firefly is a great series that unfortunately only lasted two seasons, but on the plus side, that makes it easy to get all the way through.
The Lonesome Dove miniseries.
I'm just starting the 2004 Battlestar Galactica series, and so far it's promising.
Seasons 1 and 2 of "24" were great.
All in all, so many better shows to watch than Lost... although it's tough to ignore the fact that it has legions of superfans.
