I think that it's time to talk about something that is a little bit more practical, about finishing game sessions. I finish my sessions with what I call a BOOM. I differentiate between 2 types of BOOMs: Those that I use to finish one shots, and those that I use to finish campaign sessions.
The first kind, that I mainly for one shots is the explosion type. It is usually quite straightforward; something explodes a short time before the end of the session. The logic behind this kind of session closure is very simple: It looks cool, sounds cool, and there is no time to further explore the characters, so the game should end with the most positive note that I can close it with. The explosion doesn't have to be physical, though, as it can be an explosion of all the bricks to remain moral or something. It should be something unique, or different, and it should look and sound like something that the characters will want to remember, like being stomped by Cthulhu or something ("remember that time when we were locked in the house and Daniel missed a shot and the blue liquid exploded and killed James and Tom, and then that yellow something came and stomped us?")...
The second type is BOOMs of campaign session endings. There I find two types: The classical cliffhanger, where something remains open for the next session ("the enemy army marched to town, and we all saw it at the horizon, waiting for something..."), and the Bang. Bang is a really important choice that lights a certain aspect of the character. There is no right choice or bad choice in this aspect, what is important is the choice itself, and what was chosen. When Bruce Wayne has to choose whether to reveal that he is Batman or no in "The Dark Night", he's faced with a Bang: What is more important, short term future or long term future? Saving a few people now, or saving a lot more lately, when it might be too late? This choice lights the moral aspects of Bruce.
Usually, I try to finish most of my campaign sessions with Bangs, as I believe it's much more rewarding than the cliffhanger. Also, I find the cliffhanger as cheating. There is no sense of achievement when every session (or most of the sessions) ends with a question mark. Also, I believe that Bangs are much more dramatic, and as such are much better suited for the stories we so strive to tell.
What about you? Do you use any of those ways to finish sessions? DO you use something else? Does it work?