I'm going to start by saying this: you don't NEED a special exit. In fact, sometimes it can turn out to be just another thing for you to check off your to-do list rather than something fun. But it still makes for some great photos to end the night with, if it's something that you like and want.
If you choose to have a sparkler exit, make sure you purchase sparklers that are long enough. If your sparklers are too short, then many will burn out by the time all of the guests have their sparklers lit. 10-12 inch sparklers are the most effective. Purchase enough sparklers for each guest to have one in each hand (generally there are about 30-40 guests that hang back for sparkler exits). Make sure you have plenty of lighters to get the flames going from both ends of the line. Choose a dark area to have the exit with no additional lighting. The sparklers will have enough light to illuminate both of you.
Does your venue not allow sparklers? If you still want to do something special at the end of the night, consider maybe playing a last dance song for you and your guests to sing at the top of your lungs together. Or, go for a donut run with your best friends like Jake and Kendra did.