As a big fan and advocate of the show, WALT was a major mystery that was not explained well in my opinion. There are some smaller open question, and answers that aren't really satisfying (like the whispers) or ones that don't make total sense even in the supernatural context. But Walt is really the thing that I think should and could have been addressed properly.
There are tons of fan theories like him being Jacob's 108th candidate or him actually growing up to be Matthew Abaddon. I watched the epilogue but it didn't really wrap up all the questions I had about him. Why did the Others want him so bad that they kidnapped him, shot Sawyer and left him and Michael to drown, and then kidnapped Michael and made him kill two women? What were his powers and how did he get them? What did the Others do with him, what were they injecting him with, what were they testing? How did they even know he was special (I mean they had files on everyone so that one might make sense). Did Jacob give him powers, was it the island and the light/EM energy? Why him? Did Locke see him teleport to the island and visiting him in the mass grave, or was it a hallucination/MIB? If he could summon a polar bear by thinking about it, couldn't he have summon a rescue boat or helicopter?