Audiences can be very ignorant about the fact that the show is finished. In my experience, you will always get a handful of people who will shout and plead for more songs. As a performer, you should try to resist the urge to play more songs just because someone asks for them. If you have worked out a really good set and played a good show, then know when to finish—stick to your set list plan. I always think it looks really unprofessional when acts keep coming back onstage, especially if the crew thinks it’s time to go home and they start packing up the gear!.
Signal the end of the show by making sure that the house lights go up in full and that you put on some music over the PA, preferably a genre or style of music completely opposite the style of the last act. I always find some ultra-fast 1920s or 1930s jazz clears alternative rock fans away pretty quickly.