"I'm not saying there's nothing out there," Tony tells Paulie near the end of the Sopranos finale, after the superstitious capo describes catching a glimpse of the Virgin Mary in the Bada Bing. "But you gotta live your life."
Which is what the show comes down to, in the end - a wicked man in a wicked profession, who has intimations that something else, something better, might be out there waiting to be claimed ... but in the end prefers living the only life he knows. As Matt Zoller Seitz puts it, "Chase's attitude toward people .. [is that] they are what they are, they rarely change, and when they do, they stay changed for as long as it takes to realize that they were more comfortable with their old selves, at which point they revert." Tony Soprano is a mobster, born and raised - or made, if you will - and a mobster is what he decides to remain; in his beginning was his end.
Complaining about the ambiguous, "life goes on, but you could be killed at any moment" conclusion, Matt notes that "at the end of Anna Karenina we find out what happens to Anna, and it's not because Tolstoy sold out." But we do find out what happens to Tony: He leaves therapy, and with at any chance of getting out of the family business, and at the same time it becomes clear that none of his nearest and dearest will be getting out either. Carmela gave up on escape a season ago; A.J. is bought off by his parents and will doubtless end up a mobbed-up club owner soon enough; Meadow is headed for marriage to a mafioso's son and a lucrative job as a lawyer defending, well, people like her dad. (Her conversation with Tony, where she justifies giving up medicine by describing how watching him hauled away in handcuffs taught her that “the state can crush the individual," is one of the best moments of the finale, not just because he gets off the incredulous line "Jersey?" in reply, but because for a moment you can see him wrestling with the urge to tell her that the Mob isn't worth defending - wrestling and, as always, winning.) The Sopranos was a show about whether the Soprano family, both nuclear and extended, escapes damnation, and the ending answers the only question that matters: They don't.
I should note that the theme of damnation doesn't make The Sopranos a Christian show by any means; it's too dark for that, too despairing in its treatment of its characters, both criminals and civilians. It's not atheistic so much as anti-humanistic: God may exist, and indeed the show contains numerous incidents, from Tony and Christopher's near-death experiences to Paulie's Marian vision, that could reasonably be interpreted as encounters with the numinous. But if heaven is throwing ladders down, human beings are incapable of climbing them, and divine grace is nowhere to be found. This has made it increasingly unpleasant to watch, which in a way is a good thing; it shouldn't be pleasant to watch people choose hell over and over again, and in these last twelve episodes, in particular, Chase did a good job of stripping away the element of voyeurism that often made the show morally problematic. (I like Seitz' point that even the landscape turned hellish: "from the constant desolate winds moaning under every outdoor scene to that meeting of the families that took place in an abandoned factory that looked like the belly of the Nostromo in 'Alien.'") But I'm not sure it needed six seasons to make its despairing point, and while part of me is glad to have had as many Sopranos episodes as we did, I didn't feel the sense of loss watching the finale that I've felt in the last episode of other great shows I've loved. I'll miss the show, but I'm also glad its done. You can only stare into the abyss for so long.