To me the obvious route for them to go is to start a brand new story line with a whole new group of characters in a (mostly) new part of the West. We've gotten two great games with an incredibly detailed story (especially when you factor in all of the side missions and the supplemental content in the journals and so forth) and most of the story arcs for the characters in and connected to the Van Der Linde Gang are complete. Jack getting involved in events down in Mexico at the very end of what's commonly considered the era of the West holds some possibilities but his arc is essentially over with too, having fulfilled the tragic destiny Arthur and John hoped to avoid for him, and doing yet another "Redemption" story arc doesn't seem especially appealing to me. Sadie's arc is also more or less complete, and I think if she were to be featured in the next game she's really more suited to a supporting role anyway. The only existing, major character I would be interested in seeing as the player character in another game would be Dutch between 1899 and 1907 or between 1907 and 1911, charting his movements after the dissolution of the gang and in his movements toward assembling his faction to wage war on the expansion of the US government and way of life, which would be a story line of further corruption rather than redemption. But even that, while I can think of some cool/novel possibilities for it, is essentially just further building on what has already come before.

The most exciting prospect to me is coming up with something entirely or almost entirely new that incorporates some of the overarching lore and some of the locations they've established in the first couple of games but focuses on a different era and a different thematic concern (Red Dead Retribution, Red Dead Revolution, whatever... the second "R" can be anything; what follows "Red Dead" could even be a word beginning with a different letter). By allowing the third game to be constrained by what has come before the likelihood of the franchise becoming a closed loop that burns itself out becomes greater, and I really want to see it continue and see its universe grow and expand to include other periods and tropes of the Western era and genre.