I want it to happen in the third. Introduce MJ in the final scenes of TASM3 similar to how Autumn is introduced in (500) Days of Summer at the end. I think it'd be a very neat and happy ending.
Maybe a "6 months later" thing happens and it cuts to Peter leaving his house. As he's leaving he sees MJ leave her house next door and they break into conversation as the film fades to black.
No, no, a million times no. If Gwen's gonna die, which she shouldn't, as it's the sexist mysoginistic women in refrigerators trope at full force, BUT, if she dies, then she should die FOR A REASON, which should be to make Peter realize that he can't be with ANY WOMAN while he's Spider-Man, so NO MJ, NO "happy ending", NO HOPE AT ALL.
Gwen dies in the middle of the movie, Peter tracks down the Goblin, they fight, epic battle, Peter beats Goblin to a bloody pulp, Goblin dies, through Peter's hands, or through the Goblin's own, i.e. glider, FINAL SCENE is in ONE SHOT: Peter walks up to Gwen's body, drops to his knees, and just cradles her in his arms and cries, slowly widen the shot, pulling back, keeping Peter cradling Gwen in the center throughout it all, pull back seeing the bridge, seeing an ambulance and police cars pull up, we know they're too late, MAYBE a monologue from Peter, but not really needed, the final shot should say it all, then FADE TO BLACK, with the last thing being consumed by the darkness being Peter and Gwen, and then...
THE END.
It's perfectly, heartbreakingly beautiful.