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For example, you're talking to someone and he's trying to explain something to you, and you have no idea what he's going on about. You could just say "I don't understand", sure, but is there something more akin to the English "I'm lost"?

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Answers will greatly differ from one another, depending mainly on who is being blamed -- the one doing the explanation or the one who does not understand it. We already see this in the first two answers below. In Chocolate's sentences, the speaker (the one saying "I'm lost.") is being somewhat apologetic for not understanding the explanation. T.G.'s sentence suggests that the speaker thinks the explanation is not good. –  非回答者 May 28 at 9:03
    
@非回答者 やっぱ、回答者の性格の違いの現れかな、うん。^^ –  Choko Jun 3 at 7:44

3 Answers 3

How about...

(話が)わからなくなりました。(←わかる(解る)+ない(無い)+なる(成る)+ました)(rather than just わかりません。/わからないです。/I don't understand.)
or
(話に)ついていけていません。(←つく(付く)+て+いく(行く)+て+いる(居る)+ません)(rather than just ついていけません。/I can't follow.)

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The expression I encounter more often among Japanese than the one by Chocolate is

 訳が分からない  
 wake-ga wakar-ana-i  

The meanings of wake vary. Here, we're looking at the meanings 2-4 of the lemma 訳 (see here but scroll down a bit to find 訳), namely how something comes to be the case (meaning 2), the meaning of what people say (meaning 3), and how stuff works (meaning 4).
That should cover it.

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Please use this with care. Simple "訳が分かりません" sounds as if you were blaming the person who confuses you. Saying "訳が分からなくなりました", possibly preceded by "すみません" or something, is much milder. –  naruto May 28 at 9:08
    
@naruto What you can allow yourself to imply really depends on who you're talking to, and on who you are relative to that person. When I talk to my students, I don't use polite register much. Neither do my students, by the way. –  Thomas Gross May 28 at 10:19

There are several other options that grammatically I don't see anything wrong with (though sometimes I tend to be too 教科書っぽい). Although I get the feeling that saying any of these directly to someone would be a little off-putting.

[迷]{まよ}う ー To be lost; can be used metaphorically

  • (お前の)言うことに迷っています → I'm lost on/I don't get what you're saying


[惑]{まど}う・[戸惑]{と・まど}う・[当惑]{とう・わく}する ー Be puzzled; perplexed; confused

  • (お前の)言うことに当惑しています → I'm confused by what you're saying


[掴]{つか}む・[把握]{は・あく}する ー To grasp, hold; metaphorically as "understand"

  • (お前の)言うことを掴んでいません・把握していません → I don't get what you're saying
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Why was this downvoted? –  virmaior May 28 at 23:07
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The exmaple sentences do sound very unnatural --- like the unlikeky combination of お前 and ます for instance among other things. –  非回答者 May 30 at 0:14

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