So, obviously next season is going to focus on the two universes coming together to stop the tears appearing in both worlds while, most likely, dealing with some new threat. I'm wondering if cases of the week will just completely go out the window now, as I don't really see how they could continue to make them relevant while still maintaining the pace and consequence of the main storyline.

My immediate theory on the big what-the-fuck moment with Peter at the end is that he's essentially been the bridge all along. He existed solely to connect the two worlds, thus allowing them to both eventually reach a peaceful existence. However, this leaves two big questions:

1) What actually happened, and what does everyone now perceive to have happened?

2) Seeing as how they're not going to knock a main cast member off the show like that, how is Peter going to come back?

I figured they'd do something like that, but didn't predict the Peter part. I figured He'd snap back to the story's present and they'd just kill Walternate when he showed up or that he'd combine the universes into one. I remember reading somewhere online that Oliva's evil Step Dad would play a bigger part in Season 4 (may have be a thing for Season 3 though) so perhaps he'll be the new big bad when the new season starts and they get the Walternate issues ironed out?

Suggestion elsewhere (AV Club) that Peter has become an Observer. Not sure I'd buy that, but he'd look good in a snap-brim fedora.
My colleague Kevin of grinding.be notes, strongly, that the ending was pretty much identical to that of the under-rated Charlie Jade.

I loved how the Yin/Yang relationship of the worlds & Walters is explicitly mentioned - which makes Peter the Shen, the element of human consciousness which reconciles them.

I particularly like that they now have an explanation for the First People thing. 'Cause I've had my trouble buying that before.

On the other hand, do they? I mean, after Peter undid the future with the time hole in it?

So if Peter never existed, then Faux-livia didn't get pregnant, right? And then she's still with her old boyfriend?
Also, Seth Gabel, aka Lincoln Lee is a regular cast member now...

"...moving forward, that room inside the Statue of Liberty will serve as “sort of an airlock” via which VIPs can cross to and fro. “You go out one door and you’re in our universe; you go out the other door and you’re in theirs,” he explained. But despite its location within a landmark, this “bridge” won’t be getting added to any NYC tourist maps. “No,” Wyman confirms with a laugh. “It will be a well-kept secret.”

I'm glad Lincoln is becoming a regular cast member. I was thrilled when he had his Universe 1 episode. Along those lines, I'd also love more Alt-Charlie Francis. The no Peter = no baby thing is something I've read about as well. I'd be fine with that, I wasn't a huge fan of that romantic plot tangle to begin with.

The dangling thread I'm wondering most about is the gentleman with the X shirt from LSD that Olivia said was going to kill her. He seemed less like a dream-construct and more like another mindjacker.

I think the guy in the X shirt is Oliva's step dad. I figure since he already knows where she lives and she hasn't Seen him in years, he's been following her, and she just hasn't noticed, but her subconscious picked up on who it was. It'd be neat if it turned out like the Observers and he was in the background the whole time, but I don't think they've done that. ono

...just said the big secret in the show is British Intelligence involvement with heroin smuggling...

...that the whole dope/money thing was to keep police pensions going

The "uncle" teaching the older kids mentions why multi-legged creatures built bi-pedal walkers. They're experimenting on the children. Wouldn't be surprised if the bi-pedal walkers turn out to be the end result of some of the kids being worked on. Or, in some fashion, the children are being "converted," seeing a grunt alien getting killed in a warehouse, it had very human reactions before dying. Wonder if it used to be a human.

The multi-legged aliens are another, conquered race, controlled by those harness things. The bipedal walkers are patterned after the "original" race.