Last night's episode was like that for me. At first, the whole, cut to black thing left me confused, shocked, disappointed, etc. But, after some thought, I think I get it. And now I think it was a brilliant way to end the show.
Tony and company have let us follow them in their world for the past 8 years. During that time, just like in our own lives, people and situations come and go. And just like in real life, regardless of what happens, life goes on. And that's the dilemma they faced here. Just because the show was ending, doesn't mean all of the world's of Tony and company could be neatly resolved through a single event. Say for instance, that instead of last night's show, Tony got hit or arrested? Would that have "properly" ended the Soprano's? No. You would still have no idea what happened to Carmela or Benny or Paulie, etc. Their world's would have continued and gone unresolved.
The fact that this was the last episode of the series meant that there was really only one presence that had to be removed from this world. Ours. And given this was a mob drama, how do you get rid of someone you don't want around any more? Of course, you whack them. So true to form, they created a scene where tension ran high, lots of shady characters around and then bam...cut to black. We, the viewer, got whacked. If you could've filmed the scene in the gas station from Phil Leatardo's perspective, it probably would've looked exactly that way to him.
So rather than trying to tie up a million loose ends in 60 minutes, the Soprano's did what they always do - they let us know the world goes on. We just won't be around to see it anymore. Like Richie Aprile, Ralphie, Big Pussy, Jackie Jr, Bobby, Livia, etc., etc., tonight we, the viewer, sleep with the fishes.