There are some people who screencap entire series and make them available, unfortunately I can't say I've seen Lost or TW I'm afraid, and neither are listed on the sites I use.

Actors fan pages can be really good. If I'm after a set of pics for a character I'll go to a fansite and check the galleries. They often have full movies/TV series already capped, although they are skewed towards the actor you can find some good shots.