You can create that directory just using mkdir. It should be owned by root, with a group of either root or wheel. Other than that there isn't anything especially special about it. In the event of a power failure or improper shutdown when the system boots it should automatically launch fsck. fsck will go through the system and try to recover any corrupt files that it finds. Any files that it comes across that are potentially corrupted will get moved there.
The other case for files to be moved there is if fsck finds a file whose's parent inode is missing. This is usually the case if a block gets corrupted on the disk in the specific location where a folder's inode is being stored. It will reassign their parent inode to be the lost+found folder.
Edit: I am unsure if the latter case will recreate the directory. I would leave it alone to be on the safe side. I can't think of any reason to delete it. Nothing bad will happen without it though.