"They're Coming"
From the very beginning of this show, one of the biggest questions we had to face was this: just who/what are the Losties up against? Who is the adversary? The answer to this has been a constantly widening circle from season to season.
1. Losties vs. The Island - in season 1 it was the island itself, complete with polar bears, smoke monsters, whispers, psychotic french women.
2. Losties vs. The Others - as the story moved further along into season 2,"The Others," stole children, tried killing Charlie, instigated Michael to murder, deceived, and kidnapped. In season 3, this battle comes to a head with our losties winning out on the beach, only to discover:
3. Losties vs. Widmore - in season 4 we discover that the people out there on that boat are even more malicious than the others are, and this mysteriously evil Charles Widmore is behind it. SO the losties team up with the others to take on this opponent.
4. Losties vs. Fate (Jacob) - in season 5, our losties start to discover that everything they think they've been doing to save themselves has been fruitless. They've left the island, but now realize they have to go back. They've befriended Ben and tried to kill Ben, each to no avail. Widmore comes across as relatively powerless. So what's to be done? Well, let's try to do everything we can to destroy the heart of the matter: Let's nuke the island and kill Jacob, and hope this somehow frees us. But not before one more us vs. them is introduced:
5. Jacob vs. The Man in Black - obviously we have a rivalry that has lasted a long time between these to guys, and our Losties have been caught up in it. I'm sure as season 6 evolves we'll get more backstory about these two, but in the spirit of the show, I don't think we're done widening the circle here, and this is where Jacob's final line comes in: "They're coming"
He seems to be saying this not as a challenge, but as a warning. (If he was truly in a battle with this man in black, why would he warn him? Why not just let him be a victim to whoever "they" are?) I think he's saying it in reference to a common enemy. So once again, the circle will widen and it'll be:
6. Jacob + The Man in Black + the Losties vs. ????????
This may be the war which Charles Widmore was referring to when he told John Locke that he needed to be on the island when it takes place.