What I think happened in the final scene (includes spoilers)
One of my favorite movies which just gets better with repeated viewings.
There has been discussion about whether Bob went to Nadia's because he was interested in her, or because he felt he had to dispose of her because of what she witnessed.
There are several reasons why I feel he wanted to have a relationship with her, not hurt her. As others have pointed out, why wouldn't he have killed her at the bar when he killed Deeds? He ran a big risk letting her leave. If someone is going to go to the police it's most likely going to be right after the incident while feelings are running high. Also, Bob was going to call in the cleaners anyway, so why not have them take care of Nadia as well as Deeds? But the thing that seals it for me is when he's talking to Chovsky. Chovsky keeps implying that Deeds might not have been alone, and Bob does everything he can to hide the fact that Nadia was even there. Why would he hide that from Chovsky? It would be to the Chechens' advantage to get rid of any witnesses and would make Bob look good in their eyes for tying up all the loose ends.
Other things that became more apparent to me the second time around: Cousin Marv lining his trunk with garbage bags. He expected there would probably be a body to get rid of by the end of the night, and he must've wanted it to be Bob because that would mean the robbery was a success.
The way some things were worded: If you know someone has confessed to a murder, you would say "That's the guy that killed Richie Whelan", but Marv said "That's the guy who says he killed Richie Whelan". A little thing that you would probably miss on first viewing but that makes so much sense once you know what's going on.
Chovsky constantly "kidding" with people who didn't dare laugh in his presence.
The detective who drove me crazy until I realized what he was doing - shooting the bull and then suddenly asking a hard-hitting question. He kept everybody off balance and was the only one who made Bob nervous. Bob could not prepare for him because he couldn't anticipate what was coming next. I love the nervous chuckle he gave when the detective showed up while Bob was playing by the water with Rocco.
And a quick word about the scene in the diner when Bob and Nadia are talking about the scars on her neck. She said she didn't like herself very much when she did that to herself, and Bob asked if she liked herself now. You could tell by the look on her face that she wasn't used to anyone being concerned about her. And that's why she probably was never going to tell on Bob.