10. Michael Shoots Ana Lucia and Libby
Episode: Two For the Road (2×20)
When Boone and Shannon were killed off, I wasn’t surprised that they began adding characters to replace them. One would have thought that of the four people from the tail section that came back to camp, a few of them would either become regulars or at least survive. Ha.
Ana Lucia was not well liked, but she got her own flashbacks, so you figure she’s going to stick around a while. I was completely unprepared for Michael shooting her, but got over it in about 1.2 seconds. Libby was the gut-punch. While we didn’t know much about her, she was giving Hurley the time of his life, and the sickening feeling came from knowing he just lost her.
Then MIchael turns the gun on himself. Damn this show mastered the cliffhanger.
9. Don’t Ever Tell Me What I Can’t Do!
Episode: Walkabout (1×04)
This was the episode that made just about everyone fall in love with Locke. In fact, without him, the show would lose about half of its emotional weight. On many television shows it takes characters about a season or so to really get to know their character and ease into it. Terry O’Quinn masters Locke already. The entire episode is a brilliant hour of television, but the last few minutes seals the deal.
Death By Troggles 
I only ever watched the first season of Lost, but Locke was my favorite character, probably because of this episode.
Yeah, this episode… wow. One of the best reveals I’ve ever seen.
I loved Locke as a character, especially when his faith was juxtaposed with first-half-of-the-show-Jack’s rejection of the same. Of course, once Jack became a believer, Locke’s faith, particularly it’s rigid orthodoxy, was less lovable.
Yup
Lord, I hated Ana Lucia, but that has a fair bit to do with my dislike of Michelle Rodriguez – Linds and I took to calling her “Letty” (after her character’s name in the Fast and Furious franchise) because that’s pretty much her default character. I’m sure a lot of that is type-casting, but I’d be interested to see her in something that wasn’t “overcompensating tough girl”.
That Locke episode is one of my favorite character establishing episodes. Terry O’Quinn nailed it.