A few months ago, I bought and downloaded season 4 of Lost in HD from iTunes. I've been on a serious Lost kick lately, trying to catch up to the fifth season, which just started a few days ago. I watched all the episodes (or so I thought) and finished the fourth season a while back. When the new season started a few days ago, I watched the premiere only to realize that I had missed part of the season finale of season 4. I checked my copies of the episodes in iTunes and noticed a minute or so of the last episode was missing. I thought this was all that I missed. After some checking online however, I realized I was missing the entire last episode of season 4! I didn't miss a few minutes, I missed an entire episode. I thought I hadn't downloaded it. I had backed up the entire season to DVD after I downloaded it a few months ago. So I looked back through my backups and found the missing episode. I copied the episode back only to discover that when I backed up the entire season, I'd only backed up the HD episodes. Whenever you buy an HD episode, you also get a SD (standard definition) episode 'for free'. For every episode except the last one, I had both an HD and an SD episode. Apparently when you backup HD episodes to a DVD from iTunes, it only backs up the HD episodes, and does NOT backup the SD episodes! So, essentially, when you back up HD, you only backup half of what you paid for.
The solution to this is to NOT backup HD episodes from iTunes. Instead, you need to backup the files manually. Right click on one of the episodes in iTunes and select 'Show in Finder'. From this folder make sure you back up both episodes, the regular and the HD episodes. The filenames will be named 'xxx.mp4' and 'xxx (HD).mp4' where 'xxx' is the name of the episode.
Luckily for me, I had my entire iTunes library backed up in Time Machine and was able to recover the missing SD version of that episode. Now I need to go back and re-backup both the SD and HD episodes of the series again. I have one of those problem Seagate 1.5TB hard drives as my Time Machine backup drive, and luckily I've had no problems with it, so I was able to recover the episode... I've since updated the firmware on that drive, so it shouldn't have any problems in the future.