Having given it...oh, about five minutes of consideration...I think I'm in favor of how The Sopranos ended what was really a groundbreaking eight-season run on HBO.
The real insight of The Sopranos was that Tony (and by extension, real Mafioso) has the same kinds of problems the rest of us do, in addition to those associated with being a sociopathic gangland boss. Like us, he has to deal with family issues and emotional issues. Those are part of being a human being.
So by ending the way it did, the show tells us that those issues continue. If the show had closed in a burst of gunfire, or with Tony imprisoned or dead, it would have given the lie to that central revelation, because most of us will not go out either of those two ways. Of course, what happens after the blackout is subject to every audience member's personal interpretation--if you want a hail of gunfire, you can supply it.
For me, it feels just right, the way it is. I want to remember the good parts--the fact that it proved audiences are interested in layered, psychologically complex, morally interesting television.
In fact, the big unanswered question to me is this: When AJ's XTerra blew up, did the producers save his distributor first? Because I need a new one in my XTerra...