"The Lost" are a criminal group operating in the world of the City of Heroes MMO.
They are humans mutated with Rikti DNA and are in the gradual process of transforming into Rikti soldiers.
The Lost first appeared to be part of the homeless refugees that were scattered about Paragon City following the end of the Rikti Invasion of 2002. But upon closer inspection, people began to notice something different about them. They weren't looking to be helped. They didn't try to associate with anyone outside of their little groups. And... they began to change.
The Lost stayed near the sewers. These were considered "safer" places during the invasion, so nobody really found that suspicious to have refugees stay near those places. But then their ranks would grow.
It took the sacrifice of some retired heroes to uncover the horrific truth about the Lost... that they were humans being mutated into Rikti. But it only came after they too were mutated.
(Please see their Paragon Wiki entry for a more detailed explanation.)