lost+found is a directory in the top of a filesystem that's use to hold "lost" (and found) files that have become detached from the directory structure. fsck does this business. It's created with a fair sized directory by default (or should be) since if your filesystem is broken, the last thing you want to be doing is allocating data blocks when you're fixing things up.
The files (if they're like UNIX) are all named for the inode of the file, prefixed with a '#' character (so beware how you refer to them and don't just start a shell comment!). The idea is to examine the content of the found files and then rename them to their original name (assuming you can figure it out from that content). They've saved my life on a number of occasions.