The series finale of What If...? opens by taking us back to the day The Watcher was inducted into the order by the Eminence. It's made clear to him that, to watch over everyone, he must become no one. After questioning the point of only watching, The Watcher vows to never fail...but, as we know, he did.
In the present, he's labelled a heretic but defends his actions; The Watcher wants to help the Multierse grow and Steve Rogers, Reed Richards, and Madisynn Variants are mentioned as being among those he's saved.
The Eminence, Incarnate, and Executioner care nothing about people and, just as they're about to kill The Watcher, Infinity Ultron intervenes. He holds them off while the heroic cosmic being escapes alongside Captain Carter, Kahhori, Byrdie, and Storm, but is destroyed.
The plan now is to travel to Strange Supreme's reality because his soul is in every atom of the universe he created; with any luck, The Watchers can be depowered there but it's too late - they've already caught up with the Exiles.
The team takes the oath and gains the power of The Watchers for an epic fight in which The Watcher's name is finally revealed as Uatu.
Planets are destroyed during this battle and, when the heroes gain the advantage, the twisted trio refuses to yield. Taking advantage of Uatu's hesitation, they combine, and vow to erase every Variant of the Exiles from existence (we see all manner of crazy doppelgangers as this happens, with Kahorri clearly part of the X-Men in other realities).
Captain Carter's will is too strong and she becomes a cosmic being who makes the ultimate sacrifice to stop the Eminence and his loyal followers. In her dying moments, she transported them all to Strange's reality where they're powerless; Uatu explains that he's opened his eyes and will now show them what he's discovered: they must learn to see.
Uatu is confident that, even in death, Peggy is watching over him, Kahhori, Byrdie, and Storm and her shield is left in the Fifth Dimension.
What If...? ends with a glimpse at several Variants. Among them are a six-armed Spider-Man, a Punisher Ironheart, a Samurai Ghost Rider, the Moon Knight Blade from Marvel Zombies, a Maestro-like Sorcerer Hulk, Wolverine Thanos, Jubilee as the Silver Surfer, a Skrull Captain America, Kingo as Iron Man, a Wasp/Ms. Marvel hybrid, Young Hela, Shang-Chi Star-Lord, and Deadpool.
Uatu continues to watch as the show concludes, though there's no post-credit scene and nothing that directly ties What If...?'s third and final season into the wider Multiverse Saga.
The end of the beginning...
The cast for episode 8 includes Jeffrey Wright, Hayley Atwell, Jason Isaacs, Devery Jacobs, Alison Sealy-Smith, and Natasha Lyonne. The episode is directed by Bryan Andrews, with a story by Bryan Andrews, Matthew Chauncey, and Ryan Little, and a teleplay by Matthew Chauncey and Ryan Little.