I just don't understand this thread at all. You went to Sovngarde, saw all of these legendary heroes, fought alongside them to completely destroy the physical manifestation of Alduin the Dragon God of Time and prevented what has been the end of the entire world numerous times in the past and you guys say "I was disappointed." Well, to Oblivion with the lot of you, it was the most epic battle we've seen in the series thus far, so there. And don't even get me started on the notion that you didn't receive a good enough reward.
1) Sovngarde was much emptier than it should have been.
2) Saw all those legendary heroes? What about Shor? Where was he? And you couldn't even have a conversation with any of the heroes. I mean, you got to see Ysgramor himself! But he had no nontrivial dialogue options. Basically you just got banded alongside three heroes who didn't exist in the lore before TES V and who lack any sort of character.
3) Banded alongside them, yes. Fought alongside them? That's debatable. They can actually kill Alduin themselves. Hell, Tsun, the gatekeeper, can too. You weren't needed in Sovngarde at all. This is due to poor design on Bethesda's part - they should have at least made Alduin unkillable by NPCs.
4) Was Alduin really that threatening? I mean sure they tell you a couple of times that he is the World-Eater (but he's not the God of Time - that's Akatosh - or is Alduin actually Akatosh? What does "first-born of Akatosh" mean? These are things the MQ could've tried to develop...), so in theory Alduin is quite menacing. But what is the evidence of his menace? He destroyed Helgen - a tiny village. He unleashed dragons onto the world - dragons that bears, trolls and various NPCs can kill. The entire game world, except for a handful of people that were directly involved with the MQ, seemed completely oblivious to the threat of Alduin (or to the threat of dragons entirely). I guess it's no wonder that nobody comments about it after you defeat him... :shrug: