First, let me say I loved the finale. I cried more than I cried in Up and Lorenzo's Oil combined.
Thinking back on the Sideways world, though, I realized there was a ton of misdirection this season. This is a common storytelling device, but I remember:
--Sunken island in Sideways world (that was only for the viewers, not the inhabitants of Sideways land)
--Juliet's "it worked" (we thought it must have meant detonating Jughead and creating a Sideways world)
--Daniel Faraday suggesting that a nuclear bomb created the Sideways world
I'm sure there are other instances.