stone-cold atheist here who loved LOST to bits (named my dog Hurley, even). couple things to keep in mind.
1) they used religious symbolism, but it was in no way "christian". there were tons of allusions of hinduism, buddhism, and other eastern religions (dharma, anyone??)
2) if you didn't sense the spiritual aspect WAY early on, you weren't paying attention. the series was, from the first season, about faith vs science.
3) it wasn't about "purgatory" and "heaven" so much as a spiritual completeness. the end was them finding their inner peace, not eternal salvation. they didn't go to heaven. in fact, i'd argue it was a damn near nihilistic ending because the implication was that after they came back together and sort of "found" themselves... it all went black.
4) so the very end wasn't phenomenal. the series as a whole kicked ass. don't stress over that part.