The very ending
Okay. I saw this film for the first time in maybe 10 years last night, and I was struck by the ending. I know that Woody Allen (and many others) have commented on the happy ending, which is unusual for this type of Woody Allen film. Watching it last night, I did not see it as happy.
I know that when Holly tells Mickey that she is pregnant, we are intended to interpret this as a sign that everything has worked out. The doctors told Mickey he was sterile, but really he was just trying with the wrong person, or something like that.
I believe that Holly had cheated on Mickey, and that the baby was not his. Here is my rationale. Mickey is, of course, tortured by his search for meaning. His perception of the universe is that there is no God and that even if something good happens, it pales in comparison to the void that he will be faced with in death. So at his penultimate moment of despair, what saves him? A movie. He tries to kill himself, fails, then goes to the movie, and as he tells it to Holly, he says that he got involved in the story of the film, and all of a sudden he realized that life was worth living. In this moment, he escapes into narrative and finds meaning in it.
Now back to our final scene. He sneaks up behind Holly, gives her a kiss, and tells her what an amazing story it is (narrative) that the two of them got together. He says, "What could be better than that?" She says, "Mickey. I'm pregnant." He pauses, thinking about it, then kisses her. Credits roll. We assume that she's telling the truth, but maybe she isn't. Maybe the point here is that, because of his new perspective on life, he no longer assumes the worst. He fits her news into his preconceived narrative (which he was, incidentally, just at that moment thinking about), and continues to live under that illusion. Thus, Mickey's journey ends on a rather bittersweet note: he has found a way to be happy but it relies heavily on the delusion of narrative.
It doesn't seem unrealistic to think that Holly cheated on him. We know that her sister was capable of cheating, and given Holly's implied promiscuous background, it seems like something she would be at least capable of.
I also know that some may think that this theory can't be true because Allen has himself described this ending as a little too happy for his tastes. I'm not convinced that Allen himself knows that he wrote it this way but that it may have been written this way unintentionally. Perhaps the power of Allen's subconscious and his pervasively negative worldview found its way into the story. He is not above delusion. After all, he still claims that the character he plays in all of these movies is nothing like himself.