Are all of the major characters heading to the same place?
Yes. By now, most viewers should have deduced that the Valley Beyond -- or the Forge, or Glory, or the Pearly Gates, or the Door -- are all different names for the same thing: Sector 16, Zone 4, where the data storage system is housed and where everyone -- Bernard, Ford, Hale, Dolores, William, Maeve, Akecheta -- is headed, though over a couple different timelines. (There's the Dolores/Bernard/Clementine timeline we saw in the penultimate episode, and then the one with Hale/Strand, who are using Bernard to locate Abernathy, sometime in the future.) It’s been glimpsed by a few characters before it was flooded, like when William showed the construction site to Dolores. (Big mistake!)
In addition to the data, there should also be a lot of empty bodies -- ones awaiting uploads. This would explain why the security team found that a third of the recovered host bodies floating in the flooded area were "virgin." Are some of these bodies backups for hosts we’ve already met? (This would explain why the dead Teddy pulled out of the lake doesn’t seem to have a gunshot wound to the head.) Are some of these bodies clones of the human guests? And were they meant for purchase, or perhaps something more sinister? (The sequel to the original Westworld movie, Futureworld, involved the Delos company hoping to replace the human guests in the real world.) Probably all of the above!