Dharma Initiative - Major plot point through more than half the series, but gets virtually no mention at all in the last season. Did Jacob order their deaths by The Others? Is so, why?
Hatches/Research stations - No mention at all.
Faraday's Mom - Seems to know a great deal about what's going and even helps everyone else figure things out, but the finale offers nothing up about who she really is or how she knows what she knows.
Jacob's control over the island - Ben claims that Jacob was responsible for making it impossible for people to leave, so does that mean that everyone who has ever come there since he gained control has been because he allowed them to? Did he allow Dharma to come there then, if so, why? Did he have them killed because they were getting too close to the island's power source?
The island's power source - It's a mystical something, that's all we know.
Hurley bird - ?
Charles Whidmore - Major player through the latter half of the series, but we know very little about him other than that he was once on the island but Ben had him sent away. Jacob's control over the island renders his power struggle with Ben pointless since it's ultimately up to Jacob to decide he controls the island or who doesn't. Where did "The Rules" come from, were they Jacob's or did Ben and Whidmore come up with them on their own? If the latter, why make them up in the first place?
Pregnancy problems - Important through much of the series, but never really gets answered. Was this Jacob's doing?
Have I missed anything?