CNET has an article on various websites related to Lost. Among them are official sites for Oceanic Airlines and The Hanso Foundation and fan sites for Mega Lotto Jackpot and Charile’s band, Drive Shaft.
I’d seen the Drive Shaft site last year (or at least a Drive Shaft site), though it seems to have exceeded its bandwidth for this month.
The official sites don’t have much detail, but they do have easter eggs…
Update (April 2010): Four and a half years later, as the show barrels toward its conclusion, only the Drive Shaft fan site is still around. Oceanic Air now redirects to ABC’s page for the show, the Hanso Foundation isn’t responding at all, and Mega Lotto Jackpot seems to have been picked up by a domain squatter.
Update (Feb 2017): In the years since I last checked, the Drive Shaft page was also taken over by a squatter, and has since gone offline.