I'd say that Heroes doesn't do a very good job with the backdrops, like when Peter was in a deserted New York or when Noah was in Moscow.LOST has the worst CGI on a major TV show, looks like a cartoon.
As for the CGI on LOST, I think it looks great and very convincing, especially when they take us to various locales like the Middle East or that big rock in Australia. [Lost spoilers ahead...] I only noticed that the departing sub from "The Incident" was CGI because I was looking out for it.