A friend told me that this was something I failed to go over in my bit about Endings that I recently did, and since the plan for today was just to do something quick I figured why the heck not? So just consider this added to the end/middle of Endings part 2.
If you are absolutely sure that you are not going to be returning to a world, or at the very least these particular characters, then doing an Epilogue for the characters who survive the final session can be the way to go.
Epilogues don't have to be huge, in fact they very often aren't. They don't require detailed playing through either for the most part. Just go over with the character how they see their story ending. Give the Player more control of the character's fate and just spend a few minutes going through the "What happens next" in that character's life.
Epilogues are also a place for the Player (and you the GM) to get closure on a character. Fulfilling the goals that couldn't be resolved in the main plot, actually stating that it happens in game via the epilogue can be an amazing help in letting the player put the character to rest.
Does the warrior who beat a god in mortal combat ever fight again? Or do they retire back to some quiet area far from civilization hoping to get away from the world? Do the two on again/off again lovers ever settle down? Does Bob's character make a good King? Does Lita ever find her way back home? These are all questions that an Epilogue can answer wonderfully, wrapping things up for the character in a nice little bow.
Epilogues as Bridges
This is kind of counter to what I said before, but if you want Epilogues can also be used to set things up as a bridge to a later game. Telling the what happens next after the story, but leading it up to where fate starts to pull the characters back into position.
I don't know how to really explain this one, aside from by example. In a friend's L5R Scorpion game, the game ended with us killing the Shogun and scattering to the five winds to avoid being caught. Everyone went through what happened to their character. The team lead took on a new identity and went back to work for the Scorpion. The Junshin magistrate went and joined the Lion. The 'beatstick' took up the name of an old cover identity for the group that had become something of a legend, and lived out that story. The courtier went off and climbed to a high rank in the Yakuza. The Ninja became a bodyguard for someone, and the saboteur went off to live alone deep in a forest that quickly grew a legend about being haunted.
We went through the motions for these, talking about it. The GM added in some problems, some mishaps. Someone checking in on and making a show of recognizing the one in the Yakuza causing him to pack up and vanish the next day, joining a different group elsewhere. Assassins trying to kill the saboteur in the woods, the Scorpion not wanting a mad dog of their making off without a leash. You get the idea. The point is, by the end of the epilogues everything was set for a possible group get back together for one last hurrah, we'd even been talking about it as players.
Sadly, that game never came about, however the ending and epilogue also left it so the characters could be put away. The possibility for more story was there, but the ending was still complete. All because after the main plot was done, the GM took the time to look at us all and go "What happens with you next?"
So, next time you are ending a game up. Try giving your players an Epilogue to help put those heroes to rest.