Spoiler alert! With the help of some comments on another blog, I’ve single-handedly figured out how Lost will unfold. Here’s what and why:
There are some uncanny similarities between the entity impersonating John Locke on Lost and Satan in The Last Temptation of Christ. Each offers individual satisfaction to his followers, at the expense of considerable destruction to others. In Last, Jesus made the sort of choice that, in Lost, the Japanese temple-keeper made: self-sacrifice to help others. So I believe that one or more of the main characters will face a similar decision.
This fateful choice will be between the two realities unfolding concurrently on the show. (Wikipedia tells us that the storylines will become unified about one-third into the season.) Some of the characters have relatively positive lives in the new reality, off the island, and one or more of them will choose to close off this other reality in order to defeat evil. Once the character(s) decide to stay in the world of loss on the island, we will see the self-sacrificing characters, guided by Jacob, battle the self-absorbed ones.
The series will end with two of those characters remaining on the island, in perpetual struggle, much as Jacob and the pre-Locke Man In Black were. Those two characters will be, duh, Jack and Locke.
There you have it! All that’s left unexplained is how Vincent, Nicky, and Paolo play into this whole scenario.