In *nix, /lost+found is a directory used by fsck, which is roughly the *nix equivelent of scandisk. Both fsck and scandisk attempt to
fix disk corruption problems. Sometimes they find lost clusters, data that cannot
accurately be associated with other files. Rather than remove this
potentially valuable data, they save it. Scandisk produces files like
FILE0001.CHK, and fsck produces files like 242272 in the /lost+found directory that should exist on each of the hard drives you have in your system.
If your system is running properly, lost+found may seem like an unnecessary directory, but if you crash, lose power or otherwise encounter an event that
corrupts your disk, fsck may need lost+found in order to save data.