I completely agree on the Purgatory theory. There are so many hints to Catholicism all through the episodes and there are a lot of religious connections between the characters. If it is really Purgatory, so many things make more sense. It is a place to prove yourself for heaven.
They wouldn't beable to leave the island, until they let go of something from their past life. Example, Boone finally let go of his love for Shannon(when he had that trippy experience when she died and then suddenly didn't care after he "found her dead") resulting in his "death".
There are a few contradicting ideas, such as why isn't Rose off the island yet since she is so religious? Well i can't explain that...but it's just an idea.
keep watching the best show ever!
And post more theories!