reaching the end of the world

So I'm working on a new dungeon.  The kind of dungeon to which serious DMs might append the prefix mega-.  It's in the preliminary phases of thinking about who built it (no one; some dungeons are just places where the midgets from Time Bandits did a crappy job stitching the world together), who lurked there in the past (Morgan le Fay and her satanistas, Egyptian wizards fleeing the monotheistic purges of pharoah Akhenaten, Joe Mama) and who might lurk there now (the last known dragon in England, the shattered psyche of Willaim Blake's Orc, aquamutants from the future, Joe Mama still). 

You run a dungeon of this scope unfinished, because if you wait until you are done you kill the creative spark of it.  That means once in a while the players will reach a door or passageway that leads off the map.  In the past I've had four basic strategies for dealing with this when it comes up:

1. Just be honest.  Tell the players the dungeon is unfinished here and ask them to explore elsewhere this session.  I've never seen anyone refuse to play ball and demand to go down that unfinished corridor.
2. Stay cool, make crap up on the spot and after the session ask players if they can tell when you went beyond your preparations.  Sometimes they don't notice.  This is a harrowing way to go, but it can also be a crapload of fun to make stuff up on the spur of the moment while under the threat of being discovered.
3. Tell people we've reached the end of the map.  Call a five minute smoke/drink/bathroom break and start rolling on random tables like there's no tomorrow.
4. Describe blinking sawhorse-type signs and yellow police tape labeled "Greyhawk Construction Co. DO NOT CROSS".  This is good for a laugh and most players will take the hint.  A few will tear away the tape and press on.  I often let the latter folk fall in a pit or get crushed by falling ceiling blocks. The survivors usually turn back.

The construction sign idea was inspired by "The Search for the Forbidden Chamber", which first appeared in Dragon #1 but which I first read in the original Best of... collection.

Anyway, I've come up with a fifth idea: reward/bribe the PCs.  Congratulate them on reaching the current edge of map and give them, say, 200xp times the dungeon level each when they turn back.  They can come right back and claim the same amount the next session if I don't get off my lazy ass and finish that section of the dungeon, which obviously would help motivate me to complete that section.  And they get a little benny for reaching the limits of the unknown and staring into the blank void just beyond Creation.