So i guess i must be the only one that actually liked the ending
*Spoilers* obviously
It's been many years since i watched this one but i just wanted to say that if they closed it with an ambiguous supernatural hinted ending it would have been a disappointment for me.
The chilling factor wasn't the revelation that the filmmaker was the killer but his sociopathic demeanor especially when he comments how the media can distort and manipulate the truth and present it however they want it to be received and that's exactly what he demonstrated with his film/documentary by altering reality all along and treating his viewers (us) in the exact same manner, until the final revelation, when we realize this very deception, which was the essence of the movie.
The Blair Witch Project vs The Last Broadcast ? I was going to say TLB because of the ending, but then again TBW's ending left me with the same chilling and deeply unsettling feeling. It's a draw, or maybe i slightly favor TLB.