That’s what I came in to say: that exit competes with her exit from the cafe, when she drops the coat (it’s been a couple years since I’ve seen it, so my details may be off). But those two exits are the best!
The two main ones I thought of when I saw this thread have already been mentioned: Truman’s exit in The Truman Show and the one mentioned for The Usual Suspects.
I’ll add the final scene of Butch Cassidy and the Sundance Kid, although I can’t really say if that fits into an “exit scene.”
Leon. As he lies dying after being shot by Gary Oldman’s character he presses something into Oldman’s hand and whispers “this…is from…Matilda”. Oldman watches him die and then opens his hand to reveal the pin from a hand grenade. Boom.
From Papillon: “Hey you bastards! I’m still here!”