During his final conversation with Uncle Junior, Tony refers to their line of work as "this thing of ours", which is an almost literal translation of Cosa Nostra, the official name of the Sicilian mafia.
The trivia items below may give away important plot points.
David Chase had originally intended this episode to air simply with the blank screen in place of end credits, but was unable to obtain a waiver from the Director's Guild of America. The surprising final cut to black also led many viewers to believe that their cable service had accidentally cut out.
David Chase has never explicitly stated what happened to Tony Soprano during the final scene, leading to three widely embraced theories: nothing unusual happened (the heightened tension of the scene reflecting Tony's understandable paranoia), Tony was arrested by FBI agents, or Tony was murdered and the sudden cut to black indicated his passing. However, Chase later stated that when someone dies, everything goes black and they don't realize what happened at first - and also that he originally wanted HBO to maintain the silent and black ending for over three minutes, without any end credits (in the final airing, these credits appear only a few seconds after the final shot and fade out), therefore boosting the fans' belief that Tony Soprano actually was murdered in the last seconds of the series.
Agent Harris' exclamation of "Damn! We're gonna win this thing!" when he hears of Phil's murder is a reference to real-life FBI supervisor Lindley DeVecchio. DeVecchio was charged with leaking information to the Colombo crime family. He was caught on surveillance saying the same line after being told that a rebel Colombo mobster had been killed. He was later charged for informing the Mafia but the charges were dropped.
It's revealed in this episode that trusted Sopranos capo Carlo Gervasi has turned out to be an informer against the mob. Appropriately enough, Arthur J. Nascarella, who plays Carlo, was one of the "good guys" before he became an actor--having served 20 years on the NYC police force and eight years in the U.S. Marine Corps.