What would be pretty cool is during the mid-credits scene you see Gambit walking up to this mansion (or wherever) and he is brought to or approaches Mr. Sinister and they have a conversation about how Gambit did a good job or he simply says something like "So, Remy, what have you learned?".
Something to show that Gambit was working for Mr. Sinister during the events of the Apocalypse movie.
This could be used to set up the Gambit solo movie.
Maybe Sinister could say something like "Mr. LeBeau, you are one step closer to getting what you want. For your next mission I want you to gather a group of special individuals for me." He would then hand him a packet with the word "Marauders" on it.
Or something like that...
In this story, Gambit would need to bring together the Marauders, made up of characters like Sabertooth, Blockbuster, Prism, Scalphunter, Harpoon, Malice, Scrambler, and/or Vertigo. A team of four, in addition to Gambit, would be perfect. This would lead to the whole Mutant Massacre story where Gambit is unable to prevent the massacre, but does save Sarah.
I think the Mutant Massacre, as a storyline, would be perfect for Gambit's first solo. It shows his shady past, but also establishes him as the hero (who saves Sarah). Yes, the story would need to be changed considerably, since it would not be part of an X-Men (Cyclops, Jean, Storm, Nightcrawler, Wolverine, etc.) movie, but it's very possible.
Obviously no Angel, which means no loss of his wings. No Nightcrawler, Colossus and Shadowcat being wounded. No Power Pack and no Thor. Unfortunately, no New Mutants either. And it would be tough to have Calisto and Leech since they were ruined in X3.
But what we would get is the following:
Some good Morlocks, including (possibly) Caliban, Feral, Marrow, Masque, Sunder, Tommy, etc. Masque could be the leader.
The tunnels, showing this grouping of mutants hiding from the surface.
Mr. Sinister's motivation of purging the world of his "unwanted material". It might even be possible to have Dark Beast shown, which could be used down the road in an Age of Apocalypse movie, assuming he escapes at the end of X-Men Apocalypse.
It would introduce us to Sarah, aka Marrow.
It would give us Sinister.
Hey, it's just an idea...