Magnussen was a genuinely unnerving presence compared to the cartoonish, Joker-lite Moriarty
I actually really like Moriarty in this show, he was a loon, he had no real objective and thus had no real pressure point, he did things the same reason Sherlock did things because he was bored. The super serious, cold villain has been done a million times thus Magnessen never felt like a better threat than Moriarty to me. Again, it's why how I love in the very first episode you are made to believe that Mycroft is Moriarty only to find out its just Sherlock's brother and the real Moriarty is a goofy loon.
However, I don't really want Moriarty to come back. It just seems like retreading the same waters again and I REALLY liked Moriarty's death in S2. It just showed how willing and crazy he was that he was willing commit to anything to beat Sherlock, even his own life, something completely unpredictable. To bring him back cheapens his death and will possibly make things redundant.
Anywho, regarding the finale itself it was good but far from great. There were too many surprise reveals with no payoffs, the minute Magnussen revealed everything was in his head I figured Sherlock or Mycroft's men would kill him. And I knew Sherlock wouldn't be exiled, in fact the whole thing seemed stupid. The only people that saw Sherlock kill Magnessen was Mycroft and his men and he could have easily covered the whole thing up, afterall Mycroft's job is orchestrating such things like the assassination of enemies of the state. Magnussen was putting pressure on the British government and I'm pretty sure they were all happy to see Sherlock put a bullet in his brain. So this whole charade of "he's committed murder and must be locked away" seemed stupid, especially since the exile they impose on him actually involves covering up his crime, thus why not simply cover up the crime without the exile?
In any case, please just let Moriarty be dead and chalk it up to some new villain carrying on in his name. Moriarty was fine the way he was and his death was fitting.
EDIT: Seriously, I never understood why people didn't like Moriarty, the whole series is supposed to subvert your expectations, do you really need Moriarty to be another dead-face, super serious villain? Sounds boring to me.