Ok. So here we are with no more episodes left and a lot of people are disapointed. I myself thou is very happy how it ended. We can all take for granted that YES the island timeline happened and they where not in purguatory from the beginning! But what if the sideways where not purguatory at all. Lets break it apart. If you have ever read the book The Brothers Lionheart, its about two brothers who die and end up in lets call it another life, that they made up in the real world so when they die they wouldnt be so afraid of dying. This place is called Nangiala. In this place you live as if you where a real person, you can also die in this place and if you do, you end up in Nangilima. I think this is what the producers was a little more aimed at.
As Christian stated, you are all real, wich means, that if you die, you just end up in another place, in this case this place is just like Nangiala, a place the brothers lionheart created in their mind. The survivors of oceanic 815 wanted so badly to erase their past experiences of the island and thats the place they made up, the flash sideways. A place where the island was sunk, and they never experienced it. I think the producers wanted to converge the idea of an alternate timeline with the "afterlife", so there is no exact defenition of what they are in before they move on to whatevers next, just that they are all real in this place, can die and i believe this is where it gets tricky. When they are enlightened of their past experiences of the island, they can suddenly bend the rules of this world. Locke can walk after the operation for example. He knows that he is a part of this Nangiala if we call it that he and the others made up and made it real in the afterlife. the theories will never end cause they will never answer this. But this is what i believe is kinda what they went for. So if you think they went to heaven.. maybe they did, maybe not, i see it like this, they went to a waiting place where they all LIVE a sort of alternate reality/Nangiala if you will. This is genious. The producers just introduced us to a new concept of the idea of whatever afterlife is, or at least refreshed it. Well anyway, sorry for the mixup with no big letters and missing "´" in the writing as im doing this at 2 a clock in the morning.. :P