They were not dead the whole time. Christian Shepard says that explicitly to Jack in the church. The plane crash happened, everything on the Island happened, and so forth.
When the people on the island (particularly the castaways) died (after getting off the Island and living out their lives for some), they entered a purgatory universe (the "sideways" universe that Season 6 flashed to). Because they shared such extreme experiences in their lives, they jointly created this universe as a place to "meet up" before moving on.
Before they could all move on, they had to deal with lingering issues from their real lives (e.g. Kate: murder, Jack: fatherhood). Once that was done, they were free to move on to the final afterlife (whatever it is) together. Once everyone from the Island arrived, that helped (in a Buddhist sort of way) everyone to use their experiences from life to progress through their issues.
(The image after the final credits was not included by Cuse/Lindelof, so should be disregarded).
The Island was a sort of container (bottle) for some important energy - if the light goes out then bad things happen (e.g. end of world, end of goodness, end of afterlife). Because the light was on the island, it had a lot of weird properties (e.g. the electromagnetism) that were explored during the show. Many other oddities are the result of Dharma experiments.
Part of the mystery of the Island is that it always has a "protector" (e.g. Mother, Jacob, Jack, Hurley). The protector gets to make up certain rules about how things can work on the Island - we saw the rules that related particularly to Jacob and "Man in Black".
As for what it was about: it was about relationships - particularly father/child relationships, but also others (a lot of good scifi is!). The plot dealt with this mysterious Island and people trying to seize control of the power it contained, but the show was really about the castaways and how they dealt with various flaws in their character.