A weekend spent drinking, smoking, and doing other unspeakable things. Only to be kept between the people who were there. It looses meaning when everyone else knows about the weekend. Hence the "lost part"
"Hey Dan remember when we had that Lost weekend?"
"Hell yeah man! Shit was crazy"
"Glad we're the only people who know about it"
that friend we all have who is constantly too hammered to function.
"Sarah is such a lost weekend. Everytime she drinks with us, she is a shit storm."