What's up with Walt?
The one and only Walt-centric episode is called "Special." What's so special about him? We never really found out. There were hints, and implications, but when the big set-piece of your season finale is a boat of wild-looking people kidnapping the gifted kid and nearly barbecuing his father, you've gotta do more than hint and imply. The Others wanted to study him, but what exactly were they studying? Why'd they have to be douchebags and take him with such extreme force anyway?
What did Ben mean when he said Walt was "difficult?" Was that him appearing to Shannon during his captivity, since The Monster only appears as dead people? If so, why'd he essentially lead her to her death? After "The End," for the most part any question that wasn't answered could be inferred, but the mystery of Walt may be the biggest loose thread the series left dangling.