The Island is in 1939 in Season 2.
In season 2×13. The Long Con episode. When Sayid and Hurley are listening to the transceiver they are listening to the live broadcast of the Glenn Miller Orchestra. Which was in 1939. The island at that point was in 1939.
Just a fun fact I caught when going back and re-watching all episodes before Season 6.

Right after they tune into that station, Sayid tells Hurley something about how it could be picking up signals from anywhere, and then Hurley says something like “or any TIME”…to me that either means that they aren’t in 1939, and like Hurley said, it’s picking up signals from another time…or you’re right, and that was supposed to be some hint that we didn’t catch.
I find it hard to believe though, simply because nothing else we’ve seen would indicate that they’re in 1939…that would mean the others were living in 1939, with 1970’s technology, which means that they have jumped around already before the losties got there. which opens up a HUGE can of worms, which i don’t see them doing??
Yeah, I just think the signal is from 1939.