If you haven't seen the end of LOST yet, you don't care enough about the show to care about spoilers, so, here goes:
The Hydrogen Bomb goes off. Daniel Faraday's plan succeeds, even though he dies, and he knows this because he's a mega-genius, right? He clearly had a plan and knew what he was doing. But how does he succeed?
Because another universe is created by the convergence of energies at the explosion - a "big bang" so to speak. In this new universe, the island has sunk because the arcane energies keeping it afloat and outside of space and time have been spent. Faraday knows this is what's going to happen - but he also knows that consciousness can transcend space and time, as that was the heart of his research. So his plan is that his consciousness, and everyone else's who was ever trapped on the island, will be transferred into the new universe.
Once the bomb has gone off, the Monster has already lost the game and he/it doesn't even know it - because the universe only has room for one timeline, and the previous universe is now a temporal anomaly and will slowly decay into non-existence. As people die in the Lost universe, they "wake up" with all their memories in the new universe. Except, of course, for Jacob and the Monster, because THEY NEVER EXISTED OUTSIDE OF THE ISLAND. Hence, the monster loses, and Jacob's endgame is to make neither of them ever exist. This is why babies generally cannot be born on the island, because the universe doesn't like paradoxes.
The whole last episode could have been this fantastic climax of destruction and apocalypse, with EVERYONE dying, except Desmond (who survives right up until the finish and who has the ability to cross between universes because of his exposure to the EM pulse) and he gets to explain exactly what happened to the Monster and why he's doomed to non-existence (Desmond secretly gets the explanation from Faraday in the new universe). The Monster, after having killed everybody and thinking he has succeeded, screams "Noooooo!!!!" as the old universe crumbles into oblivion. Faraday gets to explain everything to all the Losties who gather together at the concert, and now get to live the rest of their lives thanks to the proper application of science!
See how frigging easy that was? No god, no purgatory, no baloney, no cop out. You could even say that the "ghosts" on the island were just alternate universe echoes of people's stray consciousness skipping through time and space because the island was a nexus of time and space.
The writers were LAZY, and religious fantasy is NOT a substitute for actual science fiction. The end.