My fiance and I are still undecided about how to leave the reception. I've been to weddings with grand exits and weddings where the bride and groom were some of the last to leave and don't really have a preference.
Right now, I am leaning towards doing a Grand Exit because it sends a pretty clear signal the reception is over and it's time to leave. Both of our families are the type to linger after something is over and talk for awhile. We only have our venue for a block of time - if we go over that, we have to pay extra and would really like to avoid doing that.
Of course, they can still do that with a grand exit, but I feel like they would get the signal to find somewhere else to chat if there is a very clear message that the reception is over. Speaking from past experience, music ending and everyone else but the bride and groom leaving isn't enough.
I also do think pictures of grand exits can be really cute. We would probably do bubbles (can't throw things and the sparkler exits I have been involved with haven't been coordinated very well).
If we do go with a grand exit, I'm not exactly sure what we do at the end of it. Our hotel is really close to the venue and we are planning to do some night photos (just us - no wedding party) with our photographer, so we are planning to just walk right now (unless it's raining). How ridiculous would it be just to walk through the bubbles... then just keep walking?