MINOR SPOILERS BELOW
We saw a glimpse at the shift of power from the old gods to the new, beginning with the infamous hysteria caused by Orson Welles' radio adaptation of War of the Worlds. Briefly mentioned last season (linked to the rise of Media), Mr. World is shown using the surrounding fear and chaos of the broadcast in an era of increasing globalization to control people and gain worshipers.
Last season ended with the revelation that Mr. Wednesday was actually the Norse god, Odin. I assumed that this season finale would similarly share one of the other major surprises from the book. I will not spoil it for those who have not read it, but it feels like they originally intended to end with the twist and for some reason decided against it at the last minute. They get right up to it (going so far as to flash back to previous episodes that foreshadowed it), but then it falls flat by failing to pay off the setup. Shadow getting pulled into the World Tree even seems like the perfect time for him to learn important information.
Besides that, the episode does a good job of setting up what is to come next season. The old gods are on the run after the funeral home used as their base of operations is infiltrated due to a doxxing attack by the new gods. Going through a police checkpoint while escaping the chaos, Shadow learns that his ID has changed (presumably by Mr. Wednesday) to show his alias as Mike Ainsel and reveals his new destination as Lakeside, Wisconsin. We also see Laura carrying Mad Sweeney's body away, which makes me wonder if she will use the resurrection she has been seeking on him instead of herself.
Hopefully, we will not have to wait another two years for next season.