I try to make that last session (or few sessions) a microcosm of the campaign as a whole - whatever the premise of the campaign was, that happens again. (So, you're lost in Ravenloft being played with by the Dark Powers, so in the last session you get trapped in an even more constrained realm, and toyed with by the Dark Powers. Or whatever.) Also, try to include something for each of the PCs - give everyone their moment to shine.
Additionally, I make it clear to the players that death is most definitely on the line, and indeed that resurrection afterwards may not be an option - the dice will fall as they may, and the stakes are as real as we can make them.
And, lastly, once the PCs have (hopefully) emerged victorious, provide a small epilogue for each of the PCs, with extensive input from the players, talking about what further adventures they have, or how they retire to open an inn from which to inspire future adventurers, or whatever it is that they choose to do.
Then say... "The End."