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I think maybe Daniel wanted to be shot, I guess that sounds far fetched but I have such faith in the writers that I can't believe that this is the Shark Jumping episode which ended the series respect forever and so on and so forth.

Two things he said in the episode were interesting. For one, Daniel asked for a "beginners" gun, as if he never shot a gun before. If he was planning on going in guns blazing someday you would think that he would practice off island, he had 3 years, sure there was science to do and stuff but I'm sure he could have hit the practice range between then if he was going to shoot people. So I don't think he really cared about the shooting anyone I think he wanted to just use the gun to become threatening to become a target to be killed. So that served his ends.

Doesn't it seem weird by the way, Daniel didn't seem really too upset about being shot? That confirms that he wanted to die.

Why would he want to be shot in that way? I think Daniel wanted to effect the future just enough that he would stop the crash of Flight 815 and the Hatches and all the rest from ever happening AND be killed so that he could make his mother believe she must make her son into a scientist in order to perhaps save his life someday!

So yes, the nightmare final episode scenario where it all never really happened might really be the true ending of LOST...sigh.

Of course, I don't know how things happened with Daniel and Eloise at that moment before but if my theory is correct, Daniel did change the future there ever so slightly, maybe 3% or whatnot, maybe by him making that sacrifice he sows the seeds of changing the future.
By telling Jack and Kate that the hydrogen bomb on the island could be used to contain the energy on the island, he could set off a series of events that leads to Jack and Kate eventually finding the bomb, someone maybe Alpert detonating it, then the eventual changing of history, where there is no crash of flight 815. etc.

The reason Daniel needs to die is to make sure his mother in the future makes him become a scientist to get to that point where he can save if not the world, at least everyone on that island.
Why? Maybe so he can prevent Widmore from taking the island, if he were to take the island maybe it is a really, really, bad thing for the world. We just don't know how bad yet.

Here is my current theory. Supposedly there is this final battle between good and evil right? I think the shows final struggle could have something to do with one side trying to explode the island with that bomb and changing history and the other side trying to make sure the events of time do not change and the island is saved.

Widmore wants the island so he would want it to stay intact, but if there were a reason for destroying the island, say the end of the world then I bet you could get some people to save the world. :)
Really the entire show is like, here are all these broken, lonely, immoral, sad, "lost" people in life who all somehow get swept to this island and find new lives living there, some die but most become whole people again with purpose and reason to live. And when they are rescued and return to their lives, they become just as broken and sad as they were before the island.

Carlton and Cuse have always said that the point of this show is redemption. I could definately see a ending where they explode the island with a bomb, everyone dies but since they saved the world eventually they have redeemed themselves and ultimately are not lost anymore, they have found a good ending for their lives.

Now this isn't the most fun ending and kinda cliche' at this point, but it would be better than the "they never met it was all a dream" ending.

But, the side we don't consider will be the islands side and I bet you the ending of LOST won't be as clean cut as all of that, the island gets the final say.