Okay, I've done some thinking about the ending. And I haven't read pretty much the entirety of this thread, so apologies if this post is redundant or if what I'm saying has been debunked.
The baptism scene at Wounded Knee, to me, represents two key themes of the game. The first being guilt. If Booker accepts the baptism, he becomes a megalomaniac with massive delusions of grandeur, who builds a city in the sky, traps his daughter (from another dimension) in a tower by herself, kills his wife and several others to keep his secrets hidden, and fights a war, justifying all of the killing by saying it was God's will.
If Booker rejects, he becomes a degenerate who sells his daughter to pay off some debts. He recognizes himself as irredeemable, as somebody who's committed such atrocities that nothing can possibly absolve him of what he's done. As he tells Elizabeth, after you have so much blood on your hands, you don't redeem yourself. You just learn to live with it. Which is why he's able to go through Columbia and kill hundreds of people without problem. He's become so numb to the guilt and sees himself as such a lost cause that, really, a few more dead isn't going to change anything for him.
What's striking is that, in the end, Comstock and Booker are, despite seeming very different, are ultimately the same. Both kill indiscriminately. Both treat their daughters as sacks of meat. And both act without guilt. The only difference being that Booker has learned to become numb to the guilt while Comstock refuses guilt outright. Booker sees himself as irredeemable, Comstock sees himself as incorruptable. Yet, in the end, they are the same.
Which leads to the second theme, and quite possibly the key thing in the entire game. When you choose heads or tails at the beginning, it lands heads either way. It doesn't matter what you choose, the end result is the same. When you choose between a bird or a cage necklace for Elizabeth, it doesn't matter. Both represent Elizabeth being chained down; whatever you choose, it's the same. So when you go to the scene with the baptism, and Booker has to choose to accept or reject the baptism...it doesn't matter. The result is the same either way.
And yet, despite that they're ultimately the same, the two go on to live VERY different lives. One, as mentioned, goes on to live as a megalomaniac prophet of a city floating in the sky. The other goes on to live as a degenerate gambler in debt to bad people. That incredible difference in the lives they live, all caused by choosing one of two choices: accept the baptism, or refuse it?
I think the game is criticizing the overly binary nature of choices in (most) video games, and how the games that incorporate them have to choose between having the choices the player makes mean very little or nothing at all in the long run, and defining the player character by some binary choice the game presents, oftentimes in ways the player can in no way have seen coming. When a player makes a choice in a game, the game has to balance rewarding the player for their choice and punishing them. The problem is that how do you create a situation where the player can only choose between two outcomes, and the consequences seem fair? Why does Booker have to become a delusional religious maniac just because he accepted baptism? Conversely, why does Booker have to become a self-loathing loser just because he rejected it? What if the player simply does not have the emotional connection to the scene that Booker does? Hell, how can they? (Note: I'm aware the player doesn't actually make the choice here; that's kinda the point). It's stupid and pointless to make them make this choice, and then have such outrageously different outcomes when the chances that the player would react to these choices in the same way Booker and (especially) Comstock do are practically zero. And so, oftentimes developers will make it so that your choices are trivial if not outright pointless to the outcome. Don't throw the baseball at the interracial couple? Get a couple of items (I don't remember what they actually give you, but it doesn't affect the game significantly at all). Decide to spare the Rachni on Noveria? In the sequel, you'll talk to an Asari who was saved by the Queen Rachni. You know, choices that matter.
I don't know if there is a solution to this problem. Make it three choices instead of two? You still have to make that balance regardless. Since the player is largely making these choices and then have to sit back and watch the consequences instead of remaining an organic part of the world and evolving as a result of their own choices. The game dictates how your actions and choices affect you, not you. So, as a developer, what do you do? Apply tangible consequences that in all likeliness do not reflect real life consequences in any way? Or make these choices trivial, defeating the purpose of these choices in the first place?