Lost is about a bank employee named Jeremy Stanton who secretly orchestrates a robbery of the bank. The robbery is successful, but Jeremy decides to take all of the money and leave the other robbers with nothing. As he attempts to get away, he gets lost in the desert on the way to meet his family. Jeremy's wife is aware of the crime and goes along with it, but has a set a deadline for Jeremy to meet them at a secret location. After eight hours, Jeremy's wife plans to take the family into hiding without her husband.
In a fit of desperation, Jeremy contacts a route-finding service to help him reach his family before they leave him. He talks with Judy, a representative with the service. She is trying to help him find his way along unmarked roads that seem to lead nowhere. All the while, one of the robbers that Jeremy double crosses is in pursuit of Jeremy looking for revenge. Edward Archer is a ruthless killer that will stop at nothing to track down Jeremy and punish him for taking all of the money.
To keep himself calm in all of this chaos, Jeremy listens to CDs from a self-help guru in an effort to build his confidence. He is increasingly paranoid about everyone and everything around him, and starts to have doubts about committing the crime. In a fit of guilt, Jeremy sees a marked state trooper vehicle and he decides to turn himself in. Jeremy finds that Archer has killed the trooper, leaving him more frightened and worried. In the meantime, Jeremy's wife starts to have serious doubts about going along with the plan and wonders if she should just leave her husband anyway.
Judy continues to talk to Jeremy throughout the ordeal and tries to keep him calm, even though Jeremy grows increasingly suspicious of her intentions. Ultimately, Jeremy's paranoia proves to be justified, as things turn out to be not what they seem.
The movie focuses on the price of greed and how it can corrupt anyone. Even in the face of real danger, Jeremy can only turn to the guru's CDs for inspiration instead of trusting his own morality. This lack of trust in one's self can prove to be the downfall of any man.