It is heavily implied that Tony was killed, as others have explained ITT. Many people argue (David Chase included, I think) that the ending is open to interpretation, though. While I personally sit in the camp that says Tony was shot by the guy coming out of the bathroom, I can see the angle that says otherwise. The sit-down between Tony and Phil's underlings appeared to work things out, but events that came after could have changed things. That, plus small details all around call the true outcome of that deal into question.

Even if Tony wasn't killed, the last episode can still be an end to his story. Carlo flipped, so it was only a matter of time til Tony was indicted. I suspect he would go down if that happened, as Carlo was pretty high-up. Along with the viewer, Tony also had reason to question the outcome of the previously mentioned sit-down. That guy who went to the bathroom at the diner could just be a nobody who had to take a leak, and Tony can't help but be paranoid. This interpretation of the ending is about Tony living with the consequences of his lifestyle, rather than dying for it. And of course there are plenty of other ideas out there.

While it is very theatrical and symbolic in many ways, the Sopranos is also quite grounded and realistic. Both of those interpretations fit the show pretty well. Kind of like how the Russian that escaped in Pine Barrens never comes back because life doesn't always work out that way. Some loose ends are never tied. I've only seen the show twice through (had to hold back the urge to start another rewatch to make time for other shows), but I still have no idea how to feel about the ending. I don't know if I love it or hate it or am somewhere in between, but I can't imagine it any other way. To picture Tony Soprano in an orange jumpsuit in a prison cell seems really weird, as does imagining him filled with holes and bleeding all over a booth in a diner. But like he says early in the show, those are the only ways for it to end.