You guys are missing something important...
spoilers ahead
I think that after the shootout ( Cage was visiting Xibit and that mobster guy showed up )...
I think Cage actually died in that shootout.
At the end of the movie, Cage is visited again by that criminal who we saw at the start of the film, who was about to drown while locked in his prison cell.
They are bot sitting there ( in Purgatory, or Limbo ) thinking.... then Cage chuckles. At the point where he chuckles, he realizes to himself " Hey, I'm dead... I didn't save that guy... he died... so I must be dead! "
This is reinforced by how, during the shootout, Cage saw the dead mobster's body breakdancing. Only dead people can see the dead dance.
( OK I guess my theory has some holes... like how could Xibit be talking to him etc )
I gotta watch the last 30 minutes and refine this theory, but I think I am on to something.