For me, LOST reached the pinnacle of it's narrative and 'mystical' abilities in the 2nd season.
Having a large chunk of character development taken care of in the first season, the 2nd season was free to advance evenly in both plot and character study, at a consistent pace. While the latter seasons were bogged down by constant movement/action, the 2nd season wasn't 'hindered' by any particular sense of urgency.
In addition to boasting one of my favorite moments in all of LOST (Desmond gearing up to face the intruders to the hatch), it was also the season which emphasized the philosophical struggles of Jack and Locke, the man of science and the man of faith.
The only thing I hold against the second season is that we see virtually nothing of Smokie/MIB, undoubtedly one of the most fascinating elements in all of LOST.
What's your favorite season, and why ?