The way they should have handled the mystery is to allow it to be solved a bit at a time, but then have it expand outwards from an apparent resolution.
For example, they’ve totally abandoned the mystery of all the stations, the initial Dharma videotape with the scientist guy, the smoke monster, and all that stuff. They just keep spinning new mysteries and leaving the old ones open and abandoned. That’s why people are frustrated.
What they should have done was answered the first questions, and then just when you think you’ve got a handle on it, widen the mystery out to be even bigger. Then start answering the new questions. Maybe last season we should have found out all about Dharma, got answers about what all the stations were doing, and then for a cliff-hanger reveal that Dharma itself is just a front for something even bigger and more mysterious.
They should have a character like Locke spending each episode seriously trying to understand what’s going on. Cut to scenes of him finding other empty buildings, discovering new clues, piecing together puzzles… Give us something to chew on while you do all the character development stuff. Make us feel like we’re actually heading to a resolution of some kind.
Instead, they just keep abandoning plot threads and spinning off new, unrelated ones. And to make that work, they have to make the characters completely incurious as to their situation. They seem content to just hang on a beach and do their laundry. None of these people behave like they would in real life.
For example, they found a big abandoned medical station. Lots of rooms, power, all kinds of stuff. Why aren’t they living there???. Or what about the other station they found, with all the monitors? Why aren’t they living there? Who would willingly live unprotected outdoors through all the rain, wind, insects, dangerous smoke monsters, yada yada? Get some cover, you stupid idiots! In the very first season they were ecstatic to find a damp cave to live in. Now they won’t even talk about moving into a nice concrete building? What’s up with that?