
Lockdown is a fan favorite and with good reason. Things take a turn for the bizarre in the Hatch, Henry Gale earns himself some major equity with Locke, and a few more pieces of the mythology are introduced.
I'm going to get the negative stuff out of the way first. It pains me to say it but the first 5-10 minutes of Lockdown are just plain cheesy. Sayid and Ana Lucia are just about to quit the search for Henry Gale's balloon when Charlie calls them over to a grave. Ana Lucia follows it up with one of the cheesiest lines in the entire series:
ANA: Why isn't it raining here?
They look up, wala. Somehow all three of these brainiacs missed a GIANT bright red balloon perched in the trees. That's straight-up cheddar, ladies and gentlemen.
On a less irritating but still cheesy note, the first flashback shows a very domestic Locke and Helen sharing a conversation over breakfast. Conveniently enough, Helen decides to read the obituaries. Cue the dramatic music, Locke's father is "dead" (but not really). Also cue the boilerplate shady goons, Jimmy and Meathead, later in the flashbacks.
Okay, glad I got that off my chest. The rest of the episode more than makes up for these complaints since it focuses pretty heavily on the Swan. Once the blast doors mysteriously engage the fun really begins. Once Locke gets himself pinned under one of them, it's an all-out party! That sounds facetious but it's actually kind of true; the intensity level goes through the roof when Locke's forced to rely on Henry to push the button. Henry hits a snag or two along the way, a delay which allows us to see the legendary blast door map.
The Swan crisis is narrowly averted but Cuse and Lindelof weren't quite done with the surprises. Kate and Jack run across a DHARMA food pallet just as the Balloon Brigade makes its way back. Fast-forward a bit to the Swan, where Henry Gale's story is finally blown to bits, all in front of an incredulous Locke who thought he'd found a friend.

There are two chances of having a Locke-centric episode with a low rating in Acting: slim and none. Terry O'Quinn straps Lockdown on his shoulders like it were just another backpack, and though it wasn't quite as emotionally challenging as some of his other centrics he still nails every scene.
Meanwhile, Michael Emerson continues his steady ascent to becoming one of the most fascinating characters. The way he awkwardly walks toward the Swan vents is unintentionally brilliant — even a bit endearing in its own weird way. By the time Sayid returns and gets in his face it's tempting for the audience to think "Back off man, he just saved Locke's ass!" Score one for Emerson.
Guest stars: Kevin Tighe (Anthony Cooper) puts in another performance that makes me pray for his slow, gruesome demise. In other words he's doing something right. It was great to see Katey Segal again and she certainly didn't skip a beat. I've said it before and I'll say it again — she and O'Quinn have a very natural on-screen chemistry.
Deductions for Theo Coumbis (Jimmy) and whoever his henchman happens to be. They weren't intended to be comedic characters but that was my verdict nevertheless.

This was the first we'd seen so much physical acting in the Swan, so major kudos to Stephen Williams for capturing that intensity every step of the way.
There is perhaps no visual in the series that is more iconic than the blast door map. It's not just the map, it's the sudden silence, the black light effect, the panning wide shot, the reflection off Locke's eye, everything. I can't give a high enough score to that particular sequence.
Another favorite shot of mine is when Henry first pokes his head up into the Swan vents. Something about the lighting and the look on his face is just classic, almost like a rat poking its head through drywall.
The Balloon Crew scenes are effectively shot but I have to put some blame on Williams for the excruciatingly stupid notion that they'd somehow not notice the gigantic fire-engine red balloon. It's hard to believe nobody credibility-checked this before it reached the final cut.

As soon as Locke hears the crackles and static out of the Swan speakers, things get intense and don't let up until the closing credits. So yes, that's an episode I'll volunteer to watch anytime and anywhere.
Lockdown is certainly significant in setting up the arc for the rest of Season 2, most notably the search for the question mark (Pearl station). Oddly enough it also sets the stage somewhat for Walkabout, as by that time Locke is already snubbed by Helen and completely isolated.

This was the Hatch-heavy installment that was sorely needed after several weeks of paying little attention to its mysteries and relevance. Suddenly the Swan felt like it had a bit of a life of its own, seemingly engaging in self-lockdowns for no apparent rhyme or reason. If that doesn't translate to atmosphere I don't know what does.
I won't lie and say Lockdown has the same emotional impact as Deus Ex Machina in terms of Locke's tragic arc, but it's still no picnic (pun intended if you've seen the episode) to see Locke spurned by Cooper AND Helen. The guy just can't seem to catch a break.