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From Wikipedia:

Finale

During the last episode, Hunt is revealed to be part of a supernatural world, a form of limbo, populated by dead police officers. His role has been described as an "archangel", helping the souls in a place between "earth and heaven" to get where they wanted to be. His role is to take them "to the pub" - moving on to a "heaven" beyond. It is later revealed that Hunt had done this for many officers before, including Sam Tyler and Annie Cartwright.[5]

It is revealed that the main characters of the show are all dead. Shaz Granger was stabbed sometime around 1995 while trying to stop a car being broken into, Chris Skelton was shot dead during a firearms incident and Ray Carling had hanged himself because he felt he had let his family down after having failed basic training to join the army. Later in the final episode it is also revealed Ray had killed a young man and his DCI had covered it up. The guilt overwhelmed him, leading to his suicide. Because of the period of time each had spent in limbo they had all forgotten their previous lives, something which had also happened to Hunt.

The uniformed police officer haunting Drake is revealed to be Hunt, killed as a young constable after a week in the police by an armed burglar on Coronation Day in 1953. His body is buried where Drake expects to find Tyler's body, but instead she finds Hunt's original warrant card. According to a news broadcast Drake sees after waking from her gunshot wound operation in 2008, Hunt's undiscovered grave was recently found by a group of travellers.

Hunt characterizes his younger self as "skinny," headstrong and full of male bravado; he confesses that he'd completely forgotten about his past. Keats, confronting Hunt along with the rest of his team, destroys his office to reveal the universe outside and accuses Hunt of manufacturing his own fantasy world, in which he'd entrapped the souls of Shaz, Chris, Ray and Alex. Keats then convinces everyone else except Alex to accept a "transfer" to his own department, but with Alex's help Hunt persuades them to return.

Afterward, Hunt takes Ray, Chris, Shaz and Alex "to the pub" -- The Railway Arms, a favoured hangout in Life on Mars, where they are greeted outside by Nelson. Ray, Chris and Shaz enter, but Keats appears and tries to persuade Alex to come with him. This attempt fails when Alex realizes, observing Keats' wristwatch frozen at 09:06, that she has also died in the real world. Hunt is able to persuade Alex to accept her death and enter the pub, but not before they share a kiss.

In the closing moments, the series comes full circle back to Life on Mars as another officer from the future appears wondering, like Alex and Sam, who has changed his office, and wondering where his iPhone is, and Gene Hunt ventures out to greet him in his usual fashion - using exactly the same words he used to greet Sam Tyler in his first ever scene in Life on Mars.

.... also....

Ending

The final episode reveals that the Life on Mars/Ashes to Ashes world is a form of limbo or Purgatory, for "restless dead" police officers. These restless dead include the main characters Gene, Ray, Chris, and Shaz (Montserrat Lombard), all of whom died in violent circumstances. There may be others.

The revelation of their deaths come as a surprise to all except Gene who knew they were all dead but who had forgotten the circumstances of his own death due to the passage of time. All except Hunt "move on" as he takes it upon himself to act as a psychopomp or "ferryman", to all of his officers, helping them on their way to The Railway Arms (their euphemism for Heaven).

Gene returns to his office where a newly dead officer arrives, demanding his iPhone (implying that he is from the present) and asking where his office has gone, in a very similar manner to the arrival of Sam Tyler (John Simm) in the first episode of Life on Mars.