Joe does go down in a long blaze of sick glory, beginning with the weapon in hand as he's brought to the death chamber the first time. He's doing all of this not because he thinks he has a chance of escaping - which would have been trite - but to bring Ryan to the prison, to establish for Joe that he and Ryan are indeed spiritual brothers.
And, against all odds, Joe succeeds. Or maybe it wasn't against all odds, because, after all, we know that Ryan wasn't lying when he tells Joe that he, Ryan's, been dreaming of Joe. And so, even though Joe is executed in the end - a realistic outcome of this part of the story - Joe gets his wish to continue on in Ryan's head.
Meanwhile, Theo is following most of this. The story could have taken a turn in which Theo somehow used his hacking skills yet again, this time to free Joe, but that would also have been a little anticlimactic, and inconsistent with what Theo tried to do last week. So, instead, Theo tries to kill both Joe and Ryan - which would make the world a much better place for Theo.
But Joe is the one who is killed in the end, and Theo can at least have the satisfaction of the ultimate mantle of serial murder insanity now being worn solely by Theo. Not the mantle of just insanity, because Ryan is a little crazy now, too.
The Following has done a good job of creating a plausibly demonic monster in Theo - who, in some ways, is worse than Joe. Theo is certainly more effective, less cartoonish, than the other bad guys and woman in the field against Ryan and the FBI last year. I hope he survives this year, with the chilling possibility of coming back next season or after, if there is a next season or more for the Following.
But, first, Ryan has to get over the monster that is now inside him - always there, to some extent, but now riding squirmingly high because of Joe. Ryan's drinking again, and Gwen didn't get the opportunity in their tense phone conversation to tell him she's pregnant. I'd say Gwen's pregnancy makes it much less likely that she's a follower of Joe, or associated with Mark, or anything like that. Instead, it has the better effect of upping the ante of what Ryan has to lose if he can't regain his mind and equilibrium.
Season 3 of The Following, as far as I'm concerned, is a lot better than Season 2, and as good or better than Season 1. Let's hope there's a least a Season 4, with Ryan caught between Joe the psycho in his head and Theo the psycho out there in the world at large.
And see also The Following Begins ... The Following 1.2: Joe, Poe, and the Plan ... The Following 1.3: Bug in the Sun ... The Following 1.4: Off the Leash ... The Following 1.5: The Lawyer and the Swap ... The Following 1.7: At Large ... The Following 1.9: All in a Name, Or, Metaphor in the Service of Murder ... The Following 1.13: At Last Something of a Day for the Good Guys ... The Following Season 1 Finale: Doing Dead
Like a Neanderthal serial killer in the current world? Try The Silk Code