In series 2, episode 2, at around the 35 minute mark when the camera goes underwater to show the shark swimming past, the shark has the Dharma logo on the back end of it.
During the opening scene, when the camera cuts to the cabinet of drugs (shortly before the explosion heard in the distance), all the bottles of drugs have 'the numbers' on them - '4, 8, 15, 16, 23, 42'. Maybe obvious to some but worth looking out for.
Terry O'Quinn is the only actor who didn't have to audition for the show, having previously worked with J.J. Abrams on "Alias."
Evangeline Lilly almost wasn't cast as Kate. As a Canadian citizen, problems arose regarding her visa and Screen Actors' Guild paperwork. She managed to get everything in order the day before the pilot began shooting.
In the midst of withdrawal, the third time Charlie asks Locke for his stash Locke finally hands it to Charlie, who stares at the bag of heroin. On the DVD commentary, Dom Monaghan remarks that while he holds the bag of heroin (really brown sugar, but hey) he's "doing a Gollum" - using Andy Serkis's portrayal of Gollum, and his desire for his "Precious" as the basis for Charlie's intense need for the drug.
For those of you who own the Lost: Complete Collection box set and are wondering how to find the hidden disk, shining the black light on the island replica will give you a clue.