The sequence of steps to unlock the Lost is not explained anywhere in the game and requires a long process to be discovered. There's anyway a longer explanation tied to the character. dying in another location, or with another character) will reset the sequence, so you'll have to start again with Isaac. The deaths have to happen in this order and any mistake (i.e. The fight after the Fallen is guaranteed to work, it's still unclear if the second stomping phase works too. Azazel must be killed by Satan in Sheol. Judas has to die stomped by Mom's foot in the Depths/Necropolis Maggie must blow herself up with a bomb in the Caves/Catacomb Isaac has to be blown up by a Mulliboom in the Basement/Cellar You have to perform a sequence of specific deaths with 4 different characters at specific locations:

The short version, with just the instructions to unlock the character, is under the spoiler: The Lost is meant to be the most secret and elusive unlockable character in the new Binding of Isaac.

The lost binding of isaac