Here is a list of a lot of the unanswered questions leading up to the end of Season 5. I haven't gone through it yet, but I'm sure everyone has some sort of theory about them... It's possible a few of them have been answered in the first couple episodes of season 6...
1x01
"Pilot, Part 1"
* How did Jack end up in the jungle, so far away from the crash site?
* Why did the plane lose all radio contact long before the actual crash?
* Why did the Monster kill the pilot?
1x04
"Walkabout"
* How was Locke's paralysis cured?
* Why did the Monster go after Locke? Why didn't it attack?
* What did Locke see when he encountered the Monster?
1x05
"White Rabbit"
* Where is Christian's body?
* What caused Jack's visions of his father, Christian Shephard? Why did they stop?
1x06
"House of the
Rising Sun"
* Who were Adam and Eve? How and when did they die?
* Why did they have black and white stones in their pockets? What happened to the stones?
1x09
"Solitary"
* What are the whispers?
1x10
"Raised by Another"
* Why did Richard Malkin insist that Claire must raise her child by herself but then change his mind?
* Why did Malkin insist that Claire fly on Oceanic Flight 815?
1x14
"Special"
* How is Walt special?
1x16
"Outlaws"
* What was the Tampa Job?
1x22
"Born to Run"
* Who sent Kate the letter telling her about her mother being treated for cancer in hospital?
* How does Walt know about the hatch Locke is trying to open? Why does he warn him not to do it?
1x23
"Exodus, Part 1"
* How did the Black Rock come so far inland?
1x24
"Exodus, Part 2"
* Why did the Monster become aggressive toward Locke instead of letting him go like last time?
* Where was the Monster taking Locke?
Season 2
2x01
"Man of Science, Man of Faith"
* How is Walt able to appear to Shannon?
2x03
"Orientation"
* How did Alvar Hanso and the DHARMA Initiative discover the island?
2x07
"The Other 48 Days"
* Whose glass eye does Libby find in the Arrow station?
2x09
"What Kate Did"
* What is the nature of Kate's horse?
* Why was part of the orientation film cut out and hidden in the Bible in the Arrow station?
2x10
"The 23rd Psalm"
* Why didn't the Monster attack Mr. Eko?
* How did the Monster flash the memories of Mr. Eko?
* How did the Beechcraft came to the Island?
2x14
"One of Them"
* What was "Henry" doing or where was he going when he got caught by Rousseau?
2x17
"Lockdown"
* Why are supplies still being dropped on the Island after the purge?
* How was the supply drop accomplished without anyone noticing it?
* What were the loudspeakers trying to say?
* Does "Henry" have knowledge of what the button did, or what was behind the wall?
* Did "Henry" kill the original Henry Gale?
2x18
"Dave"
* Why was Libby a patient at Santa Rosa?
2x19
"S.O.S."
* How did the island heal Locke's paralysis and Rose's cancer?
2x23
"Live Together, Die Alone, Part 1"
* Why was Desmond dishonorably discharged from the British Army Royal Scots regiment?
* What is the origin of the four toed statue? What happened to the rest of it?
* Why are the pneumatic tube containers from The Pearl dumped in the middle of the jungle?
* Why did the sky turn purple?
* How did Penelope know to look for a magnetic anomaly?
Season 3
3x03
"Further Instructions"
* Who are the skeletons in the Polar Bear Cave?
* Where did the toy truck come from?
* How did Locke and Eko escape the Hatch implosion?
* Why did Locke go temporarily mute?
* What happened to Desmond's clothes after the implosion?
3x05
"The Cost of Living"
* Why did the Monster kill Mr. Eko?
* What did Eko mean when he said "You're next"?
* What happened to Yemi's body?
3x06
"I Do"
* What is Jacob's list? Who is on it?
3x11
"Enter 77"
* What is the significance of the Russian letter in Mikhail's typewriter?
* Why were the override functions in The Flame hidden behind a virtual game of chess?
3x15
"Left Behind"
* What were the flashes of light as the monster approached Juliet and Kate?
3x16
"One of Us"
* Why do pregnant women die on the island?
* Did Jacob really cure Rachel's cancer or did Rachel's cancer never come back in the first place?
* How is Mikhail able to access all the information about Flight 815 passengers?
3x17
"Catch-22"
* How did Naomi get a copy of the photograph and why was she carrying it?
* What is Brother Campbell's relationship to Ms. Hawking?
* What is the relationship between the monastery and Penny's father?
3x18
"D.O.C."
* Why is the room in the Staff hidden?
* What equipment was Mr. Paik providing to the Hanso Foundation?
3x20
"The Man Behind the Curtain"
* What was the shaking during the incursion by the hostiles when Ben was in class?
* What was the manifestation of Ben's dead mother?
* Who initiated the Purge?
* What happened to Annie?
* How did Ben become the leader of the Others/hostiles?
* Why does Richard appear not to age; how old is he?
3x22
"Through the Looking Glass, Part 1"
* What is the Temple, and why are the Others going there?
* What was Bonnie and Greta's supposed assignment in Canada?
* Who is the musician that programmed the jammer?
Season 4
4x01
"The Beginning of the End"
* How is the cabin able to move?
* How is Lewis able to see Charlie?
4x02
"Confirmed Dead"
The Past
* What is the nature of Miles' abilities?
* Why did Seth Norris replace Frank as Flight 815's pilot?
The Island
* Why doesn't the sunlight scatter quite right on the Island?
* When and where was the photo of Ben taken?
4x03
"The Economist"
The Island
* Who is the R.G. on Naomi's bracelet?
* Why was there a 31 minute, 20 second difference between the timers?
* Why is Jacob's cabin not where Locke expects it to be?
4x05
"The Constant"
The Past
* What is contained within the ledger of the Black Rock's first officer?
The Freighter
* What is the nature of the time differential between the Island and the outside world?
4x06
"The Other Woman"
The Past
* What was the cause of Goodwin's 'chemical burn' injury?
* Why did Goodwin lie about his injury?
The Island
* How does Harper suddenly appear and disappear into the jungle?
* What does Penny know about her father's research?
* Who is the man being beaten by Widmore?
o Who shot the video?
* How is Harper in contact with Ben?
* Who made Daniel's map?
4x07
"Ji Yeon"
The Freighter
* Whose blood was on the wall of Desmond and Sayid's new room?
The Future
* Why is Hurley so glad to hear no one else is coming?
4x08
"Meet Kevin Johnson"
The Past
* How was the Island "not allowing" Michael to commit suicide?
The Island
* Why is the Temple only for the Others?
4x09
"The Shape of Things to Come"
The Future
* Why can't Ben kill Widmore?
4x10
"Something Nice Back Home"
The Future
* How is Christian appearing to Jack?
The Island
* Why does Christian appear to Claire?
4x11
"Cabin Fever"
The Past
* How did Richard get to the mainland?
* What happened during Abaddon's walkabout?
The Island
* Why are Christian and Claire in his cabin?
* Why was Claire so calm and nonchalant?
* Why did Christian ask Locke not to tell anyone that he saw Claire in the cabin?
4x12
"There's No Place Like Home, Part 1"
The Island
* Why are the Others wearing their rustic garb?
The Future
* What plans does Sun have for her father's company?
* Why are Charlie, Boone and Libby named as the three other survivors?
4x13
"There's No Place Like Home, Part 2"
The Island
* Why does Miles decide to stay on the Island?
* What is the nature of the frozen wheel?
* Why does the Orchid tape begin to rewind itself?
The Future
* Why do the Oceanic Six, as well as Locke, have to return to the Island?
Season 5
5x01
"Because You Left"
* Who built the frozen wheel and how did it end up buried behind a wall of rock?
* Why does Daniel feel that the rules of time do not apply to Desmond?
* Who were the men who tried to capture Sayid and Hurley?
5x02
"The Lie"
* Ben asked Jill if Gabriel and Jeffrey had checked in yet. Who are they?
* What is Ben's relationship with Ms. Hawking?
* What did Ben put in his bag?
5x03
"Jughead"
* How did the U.S. Army find the Island?
* Why can't Desmond remember what year it was he visited Daniel Faraday?
* Who else visited Daniel Faraday's office before Desmond?
5x04
"The Little Prince"
* Who ransacked the beach camp?
* Who were the pursuers in the outrigger?
* Who sent the package to Sun?
* Who was Sayid's assailant at the hospital and why did he have Kate's address?
o How did he know Sayid was there?
5x05
"This Place Is Death"
* Why did the Smoke Monster attack the French team?
* Why was the French team so well armed?
* What happened to Robert, Brennan, Lacombe and Montand beneath the Temple?
* How does Robert know that the Monster is "protecting the temple"?
* Why is the Monster "protecting the temple"?
* What has Ben done to keep the Oceanic Six safe?
o Who has he been keeping them safe from?
* Why was Locke chosen to move the Island?
o What was Ben's motivation for taking John's place?
5x06
"316"
* What is Eloise Hawking's connection to the Lamp Post station?
* How did the U.S. Army Island photo come to be posted at the Lamp Post?
* Who is the man who predicted the Island's movements?
* How is it possible to predict the Island's movements if it has been moved manually?
* What does the Island still want with Desmond?
* Why do those returning to the Island need to recreate the circumstances of their first arrival?
* How did Jack, Hurley and Kate get from the plane to the Island?
5x07
"The Life and Death of Jeremy Bentham"
* How did Rousseau's and Daniel's maps of the Island end up at the Hydra station?
o Who wrote the hieroglyphs on Daniel's map and why?
* What is the war that Widmore says its coming?
* How does Charles Widmore know what is going to happen in the future of the island?
* What makes Locke so "special" that he needs to be on the island?
5x08
"LaFleur"
* What time period were they in when they saw the giant statue?
* What is the nature of the Truce between the DHARMA Initiative and the Others?
* What is the significance of Paul's ankh necklace?
* Why are women unable to carry a child to term later in the Island's history?
* How did Richard bypass the sonar fence?
* Why do the Others want Paul's corpse?
5x09
"Namaste"
* Why are the Numbers heard in the cockpit?
* What is the journey that Christian tells Sun she has ahead of her?
5x10
"He's Our You"
* What authority did Ilana have to take Sayid on a flight in handcuffs?
* What danger did Widmore's associates pose?
5x11
"Whatever Happened, Happened"
* What is it at or about the Temple that is capable of healing Ben?
o Why would this process cause Ben to lose his memory and innocence?
5x12
"Dead Is Dead"
* How did Ethan become a member of the Others?
* Where did Locke go when he left the Barracks?
* What is the significance of the carving beneath the Temple?
5x13
"Some Like It Hoth"
* Why and when did Daniel leave the Island?
* Why did Chang want Alvarez' corpse brought to the Orchid?
* Who killed Felix and took the documents he carried, about the faked Oceanic 815 crash?
5x14
"The Variable"
* What is the nature of the falling-out between Eloise Hawking and Charles Widmore?
* How and when did Eloise leave the Island?
* How did Daniel learn the historical details about the Swan?
* What does Faraday mean when he says that Jack doesn't belong there?
5x15
"Follow the Leader"
* Why are some of the Others at the Temple?
* In what manner did Richard watch the survivors in 1977 die?
* Why was Richard hesitant to bring Locke to Jacob?
5x16
"The Incident, Parts 1 & 2"
Jacob's Enemy
* Who is he?
* Why does he want to kill Jacob?
* Why does he need a loophole to kill Jacob?
Jacob
* How does Jacob "bring" people to the Island?
* Why does Jacob bring "these" people to the island?
* What is Jacob trying to prove his enemy wrong about?
* Why did Jacob choose to visit each person at these particular moments of their lives?
o How does he possess foreknowledge of these events?
o Why does he physically touch each one of them?
* How does Jacob prevent Richard from aging?
* Why wasn't Ben allowed to see Jacob although he was the leader?
* Why didn't Jacob act to defend himself?
The Cabin
* Who broke the circle of ash around the cabin and when did it happen?
* Why and when did Jacob leave the cabin?
o Who has been using the cabin?
* Why did Ilana order the cabin to be burned?
Ilana
* How do Ilana and her followers know so much about the island?
* What is her connection to Jacob?
o Why was she heavily bandaged?
* What is Frank a candidate for?
o Why is he a candidate?
General
* Is the sailing ship on the horizon the Black Rock?
* Who are the "they" that are coming?