Damon Lindelof and Carlton Cuse, the executive producers of 'Lost' have said that they're preparing for the series finale in two years. Knowing that fans will be outraged by whatever they come up with, they are going to go into seclusion at an undisclosed location for "many many months".
"David Chase set a great example when he went off to Paris after 'The Sopranos' ending," said Lindelof. "Which is great because all these people are going to be asking, 'What does it mean? What is it?' The fact that there's no one really around to answer that question, it forces people to come up with what they think it means."
The precedent for David Chase, though, would have to be Patrick McGoohan. The actor left England when the finale for 'The Prisoner' aired back in the late 1960s. If I'm not mistaken, I think he also got death threats after the show concluded!