The first season of Lost introduced several mysteries, including a polar bear, the hatch, the smoke monster, "The Others", and Hurley's lottery numbers. While many of these mysteries factor into the main story and are explained over time, the explanations for some are occasionally lost in the shuffle due to the sheer amount of mysteries that piled up from the very first episode. One such mystery was the presence of polar bears on the island.
In the second episode of Lost season 1, Kate (Evangeline Lilly) and Sayid (Naveen Andrews) lead a group of survivors into the jungle when they hear something large charging toward them. After Sawyer (Josh Holloway) stands firm and fires several shots, their attacker is revealed to be a polar bear. The discovery shocks the group, since it made no sense for a polar bear to live in such an environment. Michael (Harold Perrineau), Locke (Terry O'Quinn), Mr. Eko (Adewale Akinnuoye-Agbaje), and Walt (Malcolm David Kelley) have also had their own encounters with polar bears.
The early seasons of Lost were filled with references to polar bears, but an actual explanation for them wasn't offered until season 3 when the Others placed Kate and Sawyer in cages that once belonged to the bears. Apparently, the original owners of the Others' headquarters, the Dharma Initiative, brought the bears to Hydra Island for experimentation. Polar bears were chosen over other species because of their great intelligence. The scientists of the Dharma Initiative believed that the bears would make excellent test subjects for their research into the island's electromagnetic energy.
This wasn't the only purpose served by the bears. In the Orchid station, the polar bears were used to turn the large, frozen wheel that manipulated the energy found in the Heart of the Island. This was the same wheel that Ben (Michael Emerson) turned at the end of season 4 to "move" the island. When the bears would turn the wheel, they would be teleported to Tunisia. The discovery of a polar bear skeleton in Tunisia is what motivated Charlotte (Rebecca Mader) to go looking for the island with Faraday's team.
After the Dharma Initiative was taken down by "The Purge", perpetrated by The Others, the polar bears escaped from their cages and swam to the main island, which explains why they were running loose in the jungle in season 1. Though the polar bear was one of the first mysteries to draw a great deal of speculation from viewers, it didn't take long for it to be overshadowed by even stranger occurrences on the island. So when Lost got around to addressing the reason for the polar bear in season 3, not everyone may have noticed.