Depending on the character's temperament, relationships, etc. reincarnation could be a potential threat. Normally, reincarnation would be considered a good thing, but what if you still have things to do? You might be free of your mortal coil, but a ghost can still act; a soul reclaimed to the great cycle... not so much.
Not only would a reincarnated character cease being able to deal with any remaining duties, obligations, revenge plots, and so on, he or she would be reborn as a baby (and that's assuming the rebirth happens immediately!), and depending on the setting, the new individual might have zero connection to the previous one, even subconsciously. It's a new character with a recycled soul. Sure, getting reincarnated might be a positive ending, but as far as playing the character goes, you might as well have re-died.
For bonus points, unwilling reincarnation could be a threat while willful reincarnation could be the character's "happy ending" (in much the same fashion as a character's Epic Destiny in D&D 4e). You still don't get to play the character any more, but you've closed the book on him or her, after progressing through the full story.
On the opposite end of the spectrum, several settings have a "void" or "oblivion" which can annihilate ghosts in the underworld. Sure, you've already died and now you're a ghost. Sure if you get beaten up enough by people capable of punching immaterial spirits, you might have to rest for a few days and regenerate your corpus, but ultimately you'll be fine. If you step into the void, though... you're gone for good. (Without even the possibility of reincarnation.)