What was supposed to be happening with the horsemen and the merry-go-round shown in the end?

I think it was supposed to do with misdirection, which is really what magic is all about. With the mirrors, the spinning, the music, etc... It kind of makes it difficult to tell what's real and what isn't.

I know that's kind of lame, but the movie had more holes than a hunk of swiss cheese, so who really knows?

The carousel was a symbol. Remember when they talked about how Lionel did the card trick in front of the carousel? It was one of his first tricks, he was throwing in it back almost 20 yrs. The carousel is Dylan's way of remembering his father and his early years. It's a symbol. Representing Lionel, Magic, Misdirection, etc.

So I wasn't very clear on the meaning of the carousel either, but after researching it, I learned that it was a symbol of the magicians actually being taken for a ride. The magicians did everything they were told but in the end they were not given access to the EYE. the cards they carried disappear from their pockets and they are sent to a junk yard of old discarded signs in Vegas, they go to a place that the eye owns with unlimited amounts of magic tools in boxes and they realize that the boxes are locked and they aren't not allowed access. They were then uninvited to join the eye. Maybe due to their past behavior. Because the eye is a robin hood type society that steals from the rich and gives to the poor, and prior to being invited to join, the magicians were not the best character of people. The only real member of the eye was the FBI agent who disappeared on the carousel after they completed their mission.