I found this on the net,it's an interesting theory:

I am surprised to see that more people didn't come to the same conclusion I came to watching the final episode of The Sopranos -- Tony is dead. That's why there was a sharp cut at the end. There wasn't a fade to black, the music stopped, the pictures stopped, there was an instant sharp exit. That's how you die when you get shot in the back of the head.

Most people are claiming that the creator and writer of the show, David Chase wanted to leave an ambiguous ending because life doesn't have clear resolutions and endings (actually, most people don't even care about Chase's intentions, they're just pissed because they wanted a resolution). While I agree that Chase has been pushing that theme throughout the eight year run of the show, I think Chase gave you a very definitive ending here, though apparently not a clear one (at least not clear to a lot of the audience).

The Sopranos has been told from the perspective of Tony Soprano throughout. So, when he dies, the show ends. And his perspective didn't fade out, it ended very abruptly with a bullet to the back of the head. That's why the show ended so abruptly with a sharp cut to black.



There is no other explanation for why there was no fade out. Every other episode of The Sopranos has ended with music and a fade out. Chase could have easily achieved the ambiguity he wanted by fading out in a similar way to end this episode. He specifically did not make that choice.









Also, there is no other reason why they would have made such a big deal out of Meadow being late and having trouble parking. The implication is she is just about to miss or witness some very large event. Writers like Chase don't add elements like that to a script for no reason. Obviously, it had a purpose.
You could say that it was just to add tension to that scene and a lot of scenes with tension don't end in dramatic action on The Sopranos. That would be a fair point if the scene had ended like all others on the show. But it didn't. It ended abruptly. Chase isn't making a mistake there, he's sending what I thought was a clear signal. Lights out on Tony Soprano.
Steve Van Zandt had also said in the past that he couldn't see how a movie could be made given how things ended on the show. I put less stock in this because it is hearsay from one of the actors on the show, not the writer. And he might have been referring to something else, like his role in the movie since his character was incapacitated at the end.
If I am right and Tony is dead, then I think it was a brilliant ending. I would say it was the second best ending of a series and the second best perspective on death I've seen on television (the Six Feet Under finale took first prize honors on both those counts).
Death often doesn't come to you in a haze as a bed of soft music plays underneath. Sometimes, it comes suddenly and without warning. You don't get a chance to respond. You don't get a shot at an epilogue or analysis. You're done. Lights out. Blank screen.
I think Chase made a unique, interesting and ultimately brilliant choice. I think Tony Soprano is dead, and I am not full of remorse. It happened in exactly the way it would in real life -- in a way you wouldn't expect and in the blink of an eye.