The Sopranos final episode was all a hopeful dream of Tony's... hey, it is totally plausible if you think that each time David Chase wrote an episiode it had one of those wacky dream sequences in it, and the opening of the finale did have a surreal dream-like quality to it...
In this excellent interview with Chase there is a few blogger entries after it and RUTGERSBCS has a fabulous theory
"Tony falls asleep (in the second to last episode) in a barren room. No sheets on bed, no alrms clock, nothing. When he apparently wakes up, there are sheets on bed, a mirror, an alarm clock with music going off. None of that was in the end of last week's show. Tony dreams the whole last episode. A.J getting settled, Phil going down and agent harris cheering for him, Meadow becoming a lawyer and getting married. In the end, he sees himself sitting at the table. He is dreaming of having dinner with his family. Its ends when tony wakes up from his great dream. When A.J. says during the episode, "you are all living in a dream", that is a clue. sheets on bed, A.J's comment, and tony seeing himself at the end are all clues that the show really ended last week. This weeks episode was all a dream."
Here is the link to the entire interview: Interview
R.I.P. Tony and kudos to James Gandolfini for morphing David's character into the lovable hunk of stinging onion in the eye we grew to love