Though I like fantasy and SF, I have to admit to being fondest of rule-based fantasy, like that of Tim Powers -- as a reader or viewer, you have an idea of what's possible and impossible, despite the supernatural elements of the story. Fantasy without rules is far less satisfactory, since characters in those stories can do whatever the writer arbitrarily decides they can do (or can't), and as a result, the writing is lazier.
"The Lost Room" is all about rules and the characters who find creative ways to abuse them. (Tim Powers fans would like it, I'm sure.) The writers have come up with cool supernatural powers for a host of innocuous looking objects (combs, pens, cards, bus tickets, watches, a key, etc.) Each object has a power and rules to govern them. Many of the powers don't seem that nifty, until you see how creatively they are used. And, along those lines, virtually every scene contains a fun, "Hey, that's a good idea!" move, and they tend to come at you faster than you can anticipate them if you aren't taping the show and hitting pause.
What's best about this is that the writers stick with it all the way. Many of these shows go David Lynch/Twin Peaks on us, setting us up with the promise of great stuff to come, and then disappointing us in a big way later. (Dean Koontz novels always seem to fall apart in this way, at least for me.) "The Lost Room" keeps up its promises all the way to the very end, which, like the rest of the miniseries, is clever and interesting and makes perfect sense in hindsight, given the rules.
I honestly can't think of the last time I saw a miniseries or movie of this ilk that pulled off its ending this well. It's a darned good miniseries, and I sincerely hope it becomes a full-blown series, as apparently is being considered.