I haven't been watching the Sopranos but I've been following the discussion about the final episode. Because I am interested in writing and in how people respond to fiction and in how writers resolve and end things. (continued below the cut, for the spoilerphobic who have somehow managed to avoid all info so far)
Yesterday, most of what I heard/read was angry bleating about how much the ending sucked. Or rather, how much it sucked that Chase didn't end the series. Which is, of course, ridiculous. The show ended. Just because Tony didn't die or get arrested or whatever, doesn't mean there was no ending. To argue otherwise shows, I think, a fairly unsophisticated view of story-telling. Another thing that draws me to Chase's ambiguous open-ended ending (besides my own preference for those kinds of endings in my own work) is that almost every single other suggestion I read about how the show would or should end was stupid. The Russian comes back?!? Carmela finds out about Adriana?!? WTF?
Anyway, now in day 2, the comments seem to have turned to explaining why there really was a conventional ending after all. (this just in: most people HATE uncertainty). The leading theory being that Tony is really quite sincerely dead. Why? Because the show ended with the screen going black. Now, I will admit that the open-ended ambiguous ending is at least open to that interpretation. But I find the counter-argument (that the Sopranos in 8 seasons has never used that kind of Tony POV shot) pretty persuasive. But really what I find most interesting is the insistence that something happened, something definitive... the refusal to accept that the story could just end without everything being tied up in a nice neat package.
Sarah pointed out that it's similar to the end of John Sayles' movie Limbo. Which ends much more explicitly just as something is about to happen. What I think is interesting about the ending to the Sopranos is the sense of possibility and uncertainty. Maybe something was about to happen. Maybe nothing was about to happen. One of the most insightful comments I read is that the ending is that it gives a five minute slice of what it's like to be Tony Soprano -- constantly on edge and never sure where the threat is coming from.

I think it's a fair comment to say that a story "stopped" and did not "end," in the sense that it lacked an conventional ending. Just like one might say that a work of fiction seemed to start in the middle, because it didn't have the elements we associate with a beginning. That doesn't have to be a bad thing of course. It is hard to pull off I think. And it's more likely that people will dislike it just because it isn't what they expected.