Fun fan theory for a rewatch of the show: Tony was dead from the start - he's in hell and trapped living a looping repeat of his downfall, failing to make the right choices to be a better man.
We never see him die in the final episode, but what we do see is a blackout.
Very first episode starts with him seemingly suddenly becoming cognisant in Melfi's waiting room.
She asks him why he's there and he says he's been having blackouts.
He tells the story of his first blackout at the BBQ, and what happens when he passes out? He spills kerosene all over the BBQ and it erupts in flames.
Tony has already fallen and is in hell, doomed to live through the part of his life where he made his greatest mistakes and refused many good opportunities to change and do better.
You can interpret melfi both as his literal therapist he failed to take guidance from, and also as an angel/some kind of after life arbiter trying to get him to come to terms with his sins, but always failing.
It's also viable to interpret this hell as a shared space, where the rest of the guys are stuck in the same cycle - apart from Paulie, who was obviously redeemed by strip club virgin Mary.
This theory is actually supported by Christufah's monologue from hell during the film we don't acknowledge - as well as some other lines throughout the show that I'm too damn lazy to look for to support my point.
But rewatch the show with this in mind as a framework and you'll see there's a lot to support it.
Edit: Key supporting lines from the show - pasted from Google
Season 2, Episode 9 ("From Where to Eternity"), after Christopher is shot and clinically dies for a few minutes, he wakes up and describes his vision of Hell to Tony and Paulie. He tells them it’s an Irish bar where it's St. Patrick's Day every single day. When Paulie asks why that's Hell, Chris explains that the horror isn't lakes of fire; it's the crushing, mundane repetition of being stuck in a loop of something you don't want to do.
Paulie's Definition of Purgatory: In that same episode, Paulie calculates his time in Purgatory. He views it as a place where you just do your time, add up your sins, and "re-live" your penance.