Actually, I found the ending to the final episode of The Sopranos to be quite fitting. It was, after all, a show primarily about how "normal" people (read, neurotic, cynical, greedy) can find themselves conducting or condoning evil acts. The show ended by showing the Soprano family at their favorite diner, eating onion rings and fighting with such mundane aspects of existence as parallel parking.
There was no need to kill Tony off, or take him to jail. That was never the show's point.