To the surprise of many, Game of Thrones' season 8 finale ended with Jon Snow not on the Iron Throne, but instead returning to join the Night's Watch as his punishment for killing Daenerys Targaryen. It's a fate that brings Jon's story full circle, as Game of Thrones began with the "Stark bastard" choosing to take the black and head to the Wall, with the ambition of protecting the realms of men. However, the White Walkers have already been defeated, the Wall compromised, and the men of the Night's Watch almost entirely eradicated, so taking the black doesn't mean what it used to.
Jon being sent to the Wall was a compromise. As Tyrion explained, either giving Jon to the Unsullied or setting him free completely would have started a war. Jon still wanted nothing to do with ruling Westeros, so his "punishment" suited him just fine. He turned his back on his Targaryen heritage - and with it the Iron Throne - and instead went back to the North, where he has always been drawn and has always seemed most comfortable. As Tormund said to him the last time they parted, "You've got the North in you."
Upon his arrival at Castle Black, Jon found Tormund, Ghost, and the Wildlings waiting for him. It was clear that manning the Wall was no longer important, so Jon chose instead to venture North of the Wall with his fellow Northmen. With the White Walkers gone and no more Crows guarding the Wall, the icy reaches of the North are now a safer place for the Free Folk to live. It's possible (and fans will surely speculate) that Jon could establish some sort of new kingdom there as the new King Beyond the Wall. However, since there won't be a Game of Thrones season 9, we'll probably never know for sure.
What's particularly poetic about Game of Thrones' final scene is the way it mirrors the very first scene of the pilot episode. The show began with three brothers of the Night's Watch opening the gate at Castle Black and heading north into the woods, where viewers were introduced to the White Walkers and their wights for the first time. The show ends in the same way, except this time it's Jon heading out to explore, and the Wildlings no longer have to fear the undead.
Jon is not alone in ending the series by starting as journey, as Drogon flew to the east with Daenerys' body, Grey Worm took the Unsullied to Naath, and Arya decided to get on a ship and explore what's "West of Westeros." There could probably be half a dozen spinoff shows exploring what happens to each of these characters next, but perhaps it's better left to our imagination.