I'm sorry if this post seems a little sketchy, but I am just outlining my general theories regarding Lost.
The island is the gateway to the underworld - the clue in the pilot is Locke playing backgammon alone, a spiritual ritual associated with the passage to the underworld. This might be the "secret" that Locke was about to reveal.
Christian is in the underworld and as such may be played by the mystery man, as a dead Locke is (not sure if the fact they both arrived in coffins is relevant). Christian influenced Locke into moving the island which allowed Locke to jump back and gain Richard's trust and issue instructions to the real Locke, and then persuade him that he needed to die to get the other passengers back to the island. The reason why he needed to die was so that MM could then play Locke. Certainly the Locke that talks with Jacob IS the MM, since they refer back to the "loophole", and the individuals carrying Locke's body seem to know that the other Locke is not the same Locke as the one in the coffin.
We can assume that Smokey is connected to the side of death, as it emenates from the underworld, is depicted as being fed by anubis, and indeed shares the "judgement" function of anubis. Ben's dead daughter also seems to be used by MM to persuade Ben to do what the MM Locke asks.
It seems that Jacob trying to prove MM wrong revolves around humanity's corrupt nature. I can't be sure, but I seem to remember that a lot of the individuals have some morally dubious past. Jacob could be seen as the giver of life, hence the Egyptian godess of childbirth, and Jacob seemingly giving life back to Locke. I will add thoughts to this thread as they occur to me.