The thought of it all being in Hurley's head crossed my mind as well..that would be a funny ending...Or have one of the castaways just wake up at the end of an episode and instead of The End, flash OWNED across the screen.
Have any theories about what the island is? There have been a lot of magnet references...I believe that somehow they use magnets to create the things people see on the island, Jack's Dad, the horse, Dave, the black smoke, etc, and the Losties are all some part of an elaborate human behavior study...