I am more convinced then ever that the Sopranos will end with a major terrorist attack. Before I show why that is the case, I just want to predict what the first scene of the final episode will be. In the first scene we will see Tony waking up in bed holding the gun. Or to put it another way, Tony will have “Woke Up This Morning, Got Yourself A Gun.” Here are just some of the things that have foreshadowed the terrorist attack:
•In the last episode, the girl who is A.J.’s room is looking at a website about Global Terrorism Analysis. She remarks to A.J. about nuclear material crossing the border. Later Tony enters the room and the girl leaves. As Tony leaves the room, he glances at the computer and we get a close up of the phrase: Global Terror Analysis. Before he attempted Suicide, A.J. is looking at the Al Jeezera website.
•In class, A.J is learning about Israeli/Palestinian 
•When the T.V. is on, many times the past few years it is showing something about terrorism
•The Arab guys asking Christopher about Heavy Artillery earlier in the season
•The Arab guys seem to have disappeared or "grounded in" just as Phil did before he attacked.
•When Tony is on Peyote, he looks at the sun and for a second the sun looks like a nuclear explosion.
•The FBI now seems more concerned with terrorism on the show and the mob is an afterthought. The insignificance of the mob has been a running theme of the season. If you notice Phil who is a “Boss”, lives in a small house. Tony barely has a crew and is not doing financial great. With the terrorist attack, Chase is going to show that there is a larger world outside the petty in fighting of the mob characters. Or as A.J. would say, “What Was The Point?”
•Actor Steven Van Zandt said this to the L.A. Times about the final episode: "It's going to be controversial; it's going to be talked about." I don’t think something like Paulie turning on Tony or A.J. killing Tony would be considered controversial. But a freaking terrorist attack in the last episode would be.
•If you notice, a lot of the terrorist foreshadowing involved A.J.; thus I think he is the only one who survives the attack.
•Here is the text of the Yeats Poem “The Second Coming” That A.J. Reads this season:

The Second Coming

Turning and turning in the widening gyre
The falcon cannot hear the falconer;
Things fall apart; the centre cannot hold;
Mere anarchy is loosed upon the world,
The blood-dimmed tide is loosed, and everywhere
The ceremony of innocence is drowned;
The best lack all convictions, while the worst
Are full of passionate intensity.
Surely some revelation is at hand;
Surely the Second Coming is at hand.
The Second Coming!  Hardly are those words out
When a vast image out of Spiritus Mundi
Troubles my sight: somewhere in sands of the desert
A shape with lion body and the head of a man,
A gaze blank and pitiless as the sun,
Is moving its slow thighs, while all around it
Reel shadows of the indignant desert birds.
The darkness drops again; but now I know
That twenty centuries of stony sleep
Were vexed to nightmare by a rocking cradle,
And what rough beast, its hour come round at last,
Slouches towards Bethlehem to be born?