That's a big question.
On the one hand I think the criticisms in the lastpyschiatrist link I posted are valid, and that the show was "meta psychotic" and therefore kept piling up references and symbolism and things that it couldn't do anything with.
On the other hand, if I was directing it, i'd have gone for something that abandoned realism entirely and got progressively weirder. I wouldn't have had any moments of redemption or allowed Rust to be able to finally grieve. I'd have delivered on the nihilist promise of the early episodes and made something that attempted to CONFIRM Rusts pessimism rather than deliver him from it. How far can you push the audiences tolerance for the shows outbursts of negativity? To the point where even the characters that cooly deliver or reject such lines are brought to a state of such terror and suffering they'd rather die than face another moment alive? That's what I think the show should have aimed for.
I'd have liked to see reality confirming Rusts theories, but in such a way that it also confirmed that he was also psychotic.
Of course this is all very easy to say...