I didn't really like this finale as much as say, the season 1 or season 3 finale. But I still think it was pretty good. One thing that concerns me is that I'm curious about how they're going to tell the story now. The events on the island have basically caught up with the flashforwards off the island. Originally at the beginning of this season I was somewhat speculating that they were going to rid the show of the flashes all together, and just split the narrative between concurrent off and on island stories. But now that seems unlikely, since there doesn't seem to be much more to say off island until 3 or so years after the events of this finale. However, I think that if the flashes remain, that it wouldn't be very fitting for Lost to have the core of the story (and the cast member receiving the flashes) off island.
And after this season, if they do rid the show of flashes, I will be slightly perturbed, since there are 3 characters who need the full Lost character treatment very badly (Miles, Charlotte, and Daniel, especially the former two.) and one who could possibly get it as well (Frank) and it's been heavily hinted at the end of this season they are going to have a big role.
So then I thought that maybe they were going to focus on only the on island things. But then I realized there doesn't appear to be much conflict left on the island (save for the cryptic "very bad things" that Locke mentions) and the only core, popular cast members left are whittled down to Locke, Sawyer, Juliet, Bernard and Rose (if anybody really even likes those three that much) and possibly Jin. Assuming that Claire will not be such a huge part of the core group now that she's become a mysterious island woman.
But assuming that the Lost writers can come up with more plot points than I can (and they no doubt will) then I assume that season 5 will focus heavily on the events on the island in the 3 years before the Six come back. Miles, Charlotte and Daniel's characters will be fleshed out considerably. I imagine initial drama will be provided by Locke's attempts to recruit his old friends and the freighter people to his new group of Others. (Quite possibly he will even be faced with the hard decision that Jacob may not want him to recruit a good many of them, such as Sawyer, as well.) Jacob should finally be explained. Other supernatural forces on the island such as Christian may be explained by way of Claire and Locke, and possibly Hostiles. Other major mysteries of the island will possibly be explained, especially by way of Charlotte and Miles, it appears. If there are any other new main cast members they'll probably be original Hostiles. Alpert could possibly become a main cast member and maybe get a flashback (here's hoping.)
As far as off island goes... I'm not sure. Beyond the fact that I think it should be explored what happens to Desmond, Penny, and Frank after leaving the island. I dunno. I don't think more needs to be said about Jack right now. Kate needs more characterization regarding her promise to Sawyer. Hurley seems to not need anything more. Sun for sure needs more. Sayid and Ben could maybe use an episode in the 3 year gap. However, I'm not sure any off island characters will be getting flashbacks/forwards.
I have no theories regarding the lore of the show, however. Really I'm just speculating about what form the narrative will take in these next two seasons. I'm probably completely wrong, as well.
Edit: Does anybody else think Walt might go back to the island? They have a perfect solution to the problem of his age. And I think Walt's storyline desperately needs a proper resolution. I think it's entirely possible he could go back to the island, and possibly be the successor to Locke as leader of the Others.