The difference between The Leftovers and Lost is that while both have a big 'core mystery', the former implies heavily that the mystery won't be answered (and that's the point), while the latter continuously teases the answer and drip-feeds you answers to smaller sub-mysteries that are so incredibly cool that the final resolution feels like it's going to be even more mind-blowing and perfect. And, as a super-fan of Lost, I can tell you that it isn't. Go in having accepted that, and you will love it.