A lot of people are thinking the whole show is purgatory and were disappoint with the show for giving them such an ending.
However if you think about it, only the alt time line was purgatory, and the last 6 seasons of Lost actually happened, they all where brought to the island they lived on the island, Jacob and MIB did exist etc...
Keeping this theory short I am going to go straight to the proof as to why I believe this is the case.
Firstly what Christian Shepard said to Jack in the finale scenes of LOST, I don't have the exact quote but it went along the lines of 'this is a state you guys created, to remember the most important people and time in you life...' Key word here was remember, as in it happened. The losties could not live there lives as they wanted to in the real time line (Island), due to being on the island, death and other reasons, so upon death they created an alternate time line in purgatory so they could all meet each other and live out there desired lives, kinda Sixth Sense but a little bit more complicated.
Secondly Desomd, he said he could not go back to the other side, he could not leap into his alt self, why because his alt self is dead. My explanation on this is that the writers clearly made us aware people die being exposed to that much electromagnetism. What makes Desmond so special is that he maybe dies temporary, or is close enough to death due the the electromagnetism, but as the island needs him he doesn't die and instead jumps to a different reality. In the finale of Lost, there was no need for him to experience his alt self, because he wasn't ready..he wasn't dead.
The visions the alt losties had, they remember everything that did actually happen on the island, everything worth remembering, the happiness they got from being on the island. In the case of Sun and Jin they remember being on the sub, sadly dying. So they did die in the real time line, and what they experienced was actual events in there lives.
There are loads more but these are the main ones, now it can be argued what were Sawyer, Kate, Hurley and the people we didn't see die doing in the alt time line. I have two theories, one being they all died when the h-bomb went of, but this can be shot down quickly because in the alt timeline they remembered moments post 'The Incident.'
I think the most fitting ending is the ones that didn't die, all lived there lives out but upon death went back to a place in there lives where they can all be together, hence the alt time line. All the characters met here as it was the most important times in their lives and these people where the most important to them. the only thing i have to back this argument is the small conversation Hurly and Ben had, 'You where a good number 2', and Ben replies 'You were a good number 1' ie Hurly was a good Jacob and Ben was a good Richard. Also in these characters realisations they didn't see their deaths.
So I hope it makes sense and be kind it is my first theory, but having read so many I feel I owe a little back to the Dark UFO community. Its been a good ride!