Popular Lost blogger DocArzt has posted a fascinating video "behind the scenes" from the set of 4x01 (link), from a set of ABC Medianet promotional material that most more mainstream news outlets don't really use-- most simply use the stills to illustrate articles. He's been showing us the promotional stills too, for example here are the stills for last night's episode 4x02 Confirmed Dead. Yes, these have mostly been available on Lost-media.com, but it's good to have another source.
And by the way, in case you have missed them, the Official Lost video podcasts are back, two new ones for Season 4 so far, both narrated by Kris White rather than Carlton and Damon. The most recent one features Lost costume designer Roland Sanchez and the mysterious Lulu the dog. Check them out at ABC's Lost podcast page.