The last scene is accompanied by the song "A Mi Manera (My Way)," written by and made famous by Frank Sinatra. This version, recorded by the Gipsy Kings, is in Spanish and has a less iconic tone than Sinatra's recording, but still makes the point that nothing in life matters more than living on your own terms (and presumably dying that way as well).
This was one of the only episodes set and actually filmed outside the United States.
The area where Raymond takes his leisurely excursions, as well as where the final unraveling takes place, seems to be near the Sierra de la Cabrera mountain range, outside the National Capital Region of Madrid.
As stated by Harold, the phrase "go quietly into that good night" and ""rage, rage against the dying of the light." is from the poem "Do Not Go Gentle Into That Good Night" by Dylan Thomas.