I gave up trying to guess where it is going long ago and now just hang on for the ride.
For those not up to date, Spoiler Alert!!!
Since Locke's father suggested they are in Hell, I know they aren't. They never give easy answers to anything. I doubt they are even dead. My guess is the Helicopter chick is not telling the truth and since there are only three episodes left in the season, expect another huge cliff hanger.
Other stale questions of interest for me are....
What happened to Rose and Bernard?
What is the smoke monster?
What's up with the polar bears?
How did the "other" with the eye patch survive and/or fake his death?
Are Walt and Michael gone for good?
Where are the kids?
Why does Russeau want the dynamite?
How did a slave ship end up in the middle of the island?
What is the Dharma Initiative?
How will Desmond's girl play into this?
What's the significance of the numbers?
What was the point of the Nikki and Paulo episode?
and... a biggie. What's up with Cindy the Flight Attendant?