Slate has a hilarious article outlining alternate Sopranos endings. Check them out before HBO makes YouTube take them down (though they shouldn't be, since they should be considered fair use).
I did want to comment on the end of this show. I'm not an expert in the Sopranos -- I've only watched one episode, this finale. That said, at first I really hated the end, but it has grown on me a little bit after I've thought about it more. I guess the best thing about it is that it opens the door for internet parody.
The end of Six Feet Under was much, much better. I didn't watch that show very much (maybe a dozen episodes), but I thought the last 5 minutes was the best conclusion of any TV series. Notice how in the future scenes the camera is always moving up. Enjoy.
If that depressed you, here's the collection of chicken dances from Arrested Development.