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Blood is, as always, a connection. The psychic spits blood on Fred's face (Hellbound), and Fred, in turn, does the same to Wesley (it's also telling to note that Lindsey got blood on his face twice in Season Two -- two times he didn't die as people around him did.). The blood foretells the dying. It's always about blood, as Spike says in The Gift. Angel's story hinges on blood -- he poisons blood, drinks blood, and is connected to a future by blood.
Both Wesley and Gunn receive bloody wounds in the same general area, their stomach. Utterly appropriate, as that is where Wesley took a bullet for Gunn and Gunn took a knife from Wes. Their shared pain connects them through life, through to death and beyond.
And as Wesley is the one to clean and heal Illyria's wounds, she is the one who gives balm to his emotional wounds as he dies.
Another thought -- Wesley sets aside his gun (set aside his will to fight, you might say), and dies. Lorne uses a gun, and walks away, unable to be the type of person who does that sort of thing. At least, not more than once. Wesley was already broken when he began his fascination with firearms, while it was the use of a gun that broke Lorne.
In Buffy, guns are never a good thing, on Angel, they are on occasion necessary. In some ways, it's all summed up in that.
Ah, and there was foreshadowing for the ending (though, as with all foreshadowing in the Jossverse, it may be unintentional) -- in Shells:
Knox: "You can't win this."
Wesley: "Then we all die trying."
Illyria: "Why?"
Angel: "You want the short version? Let's start with you walking around looking like the woman you murdered."
Illyria: "You think your actions will restore her?"
Angel: "No."
Illyria: "Yet you seek a confrontation you cannot win."
Angel: "What you're trying to do, raise your army, reclaim your world, innocent people would die. Like Fred. I can't let that happen."
Impossible situation. No hope of gaining anything... except doing his best to save lives because it's the right thing to do.