The grin of Robert/Prot at the end?
Well, i'm sure it's been discussed some point on this board, but it really striked me.
When Dr. Powell asked Robert/Prot about July the 27'th at the end you can see he grins/smiles a little bit on his wheelchair.
Now, as far as i can conclude from this is that Robert was well aware of the act he was playing all along; tricking Dr. Powell and everyone else (after all he was described as highly intelligent). And he made up all this K-PAX (Prot) fiction. Otherwise why would Robert smile, and Prot already being gone? The Bess disappearance is also very easily explainable: Robert did give tasks to lunatics about the steps so one of them could come with him to K-PAX. But later turned out they were just general and spread-around steps (as we could read from the last task for Howie). Robert just teached Bess how to escape the institution, and perhaps how to hide later on.
As the ending was meant to be ambiguous, i also like to believe Robert himself killed his family, and killed the guy who was perhaps trying to stop him.
Also if Prot was in control of Robert, then why was he prone to hypnosis? Though he wasn't willing mentioning the name, but also the whole hypnosis thing makes this alien hypothesis a little bit unbelievable. Besides when Dr. Powell visited his home, the flashbacks shown were just Powell's own interpretation of the situation there. The post-credits scene shows very clearly he wanted to believe Prot was from K-PAX (Robert tricked him into being obsessed with this Prot).