I don't think the bridge shot is the last shot, but I also don't think that:
-Batman/Bruce is dying
-Bruce will stop being Batman
I think the advertising is being purposely misleading. They want people to think Nolan is killing off Batman, but I don't think he will. Especially, if Bane nearly kills him half way through the film, Batman dying at the end won't be as meaningful.
And Bruce just giving up Batman just seems like a cop out to me.
I beleive Bruce will accept that Gotham will always need Batman AND Gotham will realize they need Batman. I think the film will end with the Batsignal being rebuilt and turned on. It will shine into the sky as the people of Gotham cheer at the symbol. Pan up to a roof top where Batman stands, cape billowing in the wind and he is joined (after a moment) by Catwoman and Blake (not as Robin/Nightwing/Azrael but as a sort of stand-in for Gordon). All a dramatic upshot, showing them looking out, then pan around to show the Batsignal on the clouds.
Big musical upswing, maybe with a variation of the Bane chant, but changed to support Batman. And then...BAM!
THE DARK KNIGHT RISES