I'd like to see a distinct "That's it - you've won!" message, perhaps when you've achieved all the central objectives... or when you've obtained a certain amount of money or something.
Open-ended game architecture is all very well... but it means that an excellent game ends because you become bored of it. It should culminate with a distinct finale, acknowledging that you've won. Can't imagine Riven, Duke, or Marathon leaving you wandering around, supremely powerful and wondering if there's anything left that you're supposed to kill...
Of course, since there are a variety of playing styles, there might need to be a variety of different victory conditions. Traders and pirates want money, soldiers want victory, rebels want secession, psychopaths want to lay waste to space, the wronged want justice... and non-human races may have their own goals.
Sure the boys from Ambrosia have their own ideas for their baby, though.
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"I wear a helmet
But I've got a bare chest
I do some talking
My phaser does the rest
Don't like your tentacles
Don't like your face
Don't like your planet
Think I'll lay it to waste
'Coz I'm Rambo in Space
Yeah, I'm Rambo in Space"