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In these sentences:
lo intento I try
lo siento I am sorry
I do not understand why there is a "lo" here? As I under it lo is a direct pronoun for the third person singular. However in the two lines above surely it should be "me" as its the first person singular?
What am I missing?
They're two different cases.
1) In English, you can use "try" alone, but not in Spanish. "intentar" is a transitive verb that NEEDS a direct object to specify. You can think of it like "intentar"=[try to do]
you need to specify what thing you're trying. That's why "lo" appears there.
2) Check that "siento" is the verb "sentir"="to feel". It's not "to be sorry", which makes full sense itself. You can feel anything. When you say "lo siento" it means "I'm sorry" because it kind of says "I'm feeling your pain/ I'm feeling sympathy, I share your pain", and so on. So "lo" indicates what you "feel".
This is to complement the other answers, mainly.
First of all, lo siento is an idiomatic phrase with a special meaning. Think of it as a phrasal verb, sentirlo, which means "being sorry". The object pronoun lo can be absent but only if there's an explicit object (which might be subordinate phrase) elsewhere:
(Note how lo moves from the verb to the subordinate.)
Without lo in this idiomatic sense, sentir is just the verb "to feel" (and it cannot be used as in English e. g. "I feel for you"). Sentir doesn't mean "to be sorry" except in very specific sentence patterns (as shown above), where it's a synonym of lamentar.
With Lo intento you can use lo or not, but most speakers will use the pronoun, in context, since usually you're speaking of something that was referred to previously.
-¿Eres un buen padre? ("Are you a good father?")
-Lo intento. ("I try.")
(Here lo refers to "being a good father".)
You can also reply to such questions with Eso intento. Placing the object, eso, before the verb, is idiomatic; in general, as you must know, the object goes after the verb.
In some dialects people say tratar instead of intentar. With tratar you don't use the pronoun lo, since the verb doesn't work the same.
-¿Siempre haces lo correcto? ("Do you always do the right thing?")
-Trato. ("I try.")
Eso trato also works.
EDIT: the following I wrote by mistake, but then it's useful as an example, so I'm leaving it here.
Lo entiendo is different. It's also kind of an idiom when used as a reply equivalent to English "I see", but the pronoun lo is not compulsory. The following are all more or less equivalent:
Some other valid examples, where the translation can be "understand", "see" or "get":
Although "intentar", as a transitive verb, usually takes a direct object, it does not always need one.
It is perfectly correct to say, in the proper context:
Intento.
We can find it accompanied by some structure to reinforce the idea that, no matter what the result may be, you will make a try:
Al menos intento // No sé si podré pero intento // Por más que intento no lo consigo.
This is in line with the grammar of transitive verbs which, according to the RAE, can do without the direct object without ceasing to be transitive. Item 34.5.1a of RAE's grammar says:
Estos verbos [con complemento directo omitido] no dejan de ser transitivos en tales contextos, ni pasan a adquirir en ellos un nuevo significado. De hecho, es posible remitir al elemento que queda sobrentendido.
The element that is understood in "Intento" is whatever the person is trying his/her hand at. It is worth mentioning that "Lo intento" or "Intento" (with "intentar" being transitive in both cases) is equivalent in meaning to: "Trato", which is intransitive.
I find this use of "intentar" without an object similar to that of "buscar" which, even if usually accompanied by an object, does not always require one. Noone can deny that this sentence from the Bible is correct: El que busca encuentra. By analogy, we can very well say: El que intenta consigue. Although the thing tried or sought is implicit, it need not be expressly stated.
The case of:
Lo siento.
is different. "Lo siento" is similar to "Lo lamento" (though the latter is quite stronger). Though unusual, "Siento" alone can be used to mean "I have feelings", in a context like the following:
Pienso, siento, estoy vivo. (I think, I feel/have feelings, I'm alive.)
To mean "I'm sorry", "lo" is required, and the pronoun will refer to the situation the speaker is sorry for.
Note: Here I've found a couple of interesting examples illustrating the use of "intentar" without an object:
Él trata de hacerlo, intenta, pero no lo logra. (Source) (Notice that while "hacer" and "lograr" do require a direct object, "intentar" does not.)
Edipo intenta pero falla. (Source)
Lo intento.
I'm trying to do it; I will try to do it. (The subject, yo, was omitted from the sentence you showed. This is a fun feature of Spanish.)
Lo siento.
I regret it; I am sorry about it. (Again, the subject is omitted.)
