In order to unlock The Lost, you must kill yourself in very specific ways in a specific order. First you must die to a Mulliboom as Isaac in one of the Basement floors. Second you must die to a bomb blast as Magdalene in one of the Caves floors. Third you must die to Mom's Foot as Judas in one of the Depths floors. You can use seeds for the first three parts but not Azazel. Last you must die to the second stage of Satan as Azazel in Sheol. You cannot die in other ways between these specific death runs, you cannot win with any character, and you cannot use seeds. You can, however, reset between runs. If you die and quickly hold R to reset before the death screen comes up, it does not count as a death and you can continue to unlock the lost. The Lost starts with flying, and has no health, nor can he gain health through normal health pick ups. However, he can take devil deals for free.