I think the answer to why people get annoyed is right there. It has never revealed a lot. For awhile, that is great, but as time goes on I feel people expect there to be answers as well as new questions. Lost rarely gives you much resolution and at some point that gets old.
If you listen to fans of Alias, the exact same thing happened with that show.
It is still an entertaining show, without a doubt. But I am annoyed that there are still very answers. It does seem as though the "monster/smoke/security system" will return next week. Perhaps while get some answers there. I'm not holding my breath though.