Someone suggested in the commentary thread that "they're coming" is a reference to the time displaced characters coming back to the present. That would be a more reasonable (but mundane!) explanation. Someone also suggested that the reason Jacob brought the O6 back to the Island was to have them cause a nuclear time reset which would bring him back to life, but I dunno about that one. Whatever happened, happened! Dead is dead, as we learned is doubly true with Mister Locke! I guess next season we won't be seeing Locke anymore but the actor will continue to portray the Adversary.