It would also depend on the style of game you are aiming at. I remember playing a text adventure game years ago that played to fantasy cliches and wasn't afraid to make fun of them. The edge of the world in this game was a barrier of fog with signs saying "This part of the world has not been created yet" - it worked nicely here but clearly wouldn't work in a more serious game. In these cases think what the player cannot do ... if it isn't possible to swim then islands work, if the player is flying a plane then what is the effective range before fuel runs out - these create logical barriers that don't break the player's immersion in the game.
And whatever you do don't create something interesting the other side of the 'wall' as the player will probably want to pay it a visit. Fallout 3 failed for me on this point as there simply was an invisible wall beyond which there was often something more to discover (if the radiation kept increasing until it was impossible to keep moving forwards then this would have worked and made sense to me), while I had a similar bad experience with one of the Fable games. The worst example I've seen is an impressive locked door impossible to open - I wasted hours trying to find the key, break down the door and so on before discovering (by surfing the net) that the door was just there to give the impression of a larger world.