Elizabeth "killed" him, but Elizabeth also has the power to alter space and time, and it's not like you see any body in the pull-out shot of the baptizing area

the very last shot (after the credits, in the office) could be from any number of possibilities, since there's nothing else there besides Booker saying anna's name and opening the room door (you never get to see Anna before the shot cuts), it could be ANYTHING.

the whole point in killing Booker at that point is that in some tears he baptizes himself and changes his name to Comstock as a man "born again", in some tears he does NOT go ahead with that choice.

the entire plot exists because of "a lady" because she's the one who is the first person to make the breakthrough of the quantum mechanics and discovers alternate realities, in one of the realities she's "a gentleman" which is why she calls him her brother, this was in one of the radios btw, so in one of the tears where booker baptized himself, he came upon "a lady" and with her help created the sky city, built himself as a prophet and then got full of himself to the point of believing himself as a prophet.

then he married lady comstock, but she couldn't conceive a child, so he uses "a lady" to build a portal, and rather then take anyone else's child, decides to take his own child from a timeline where he didn't baptize himself and ends up a failed private detective with a large debt.

again, "a lady" and "a gentlemen" are the primary people responsible for pulling this version of booker into a tear timeline where comstock exists to get a hold of liz, and utilize her powers so things can be "halted" before they even began.

and the only way to stop all this shit is for booker to die before he is "born again" as zachery, or doesn't take the baptism, i-e he needs to be killed BEFORE he goes ahead with that choice, and that's why all the elizibeth's are there to help kill him, once he dies, all the alternate elizibeth's on site disappear because their timelines don't exist anymore, except for the elizibeth who accompanied booker, because she's the elizibeth from the primary timeline where booker sold his daughter and went on this adventure to begin with, i-e she's from what you can call "the real timeline" at that point.

From what I understood he does NOT have a daughter in the timeline where he is baptized .. here's the breakdown.

- Booker and Slate do all the war shit that's mentioned in the game.
- during the war, booker kills a lot of people and feels remorse for it.
- after the war booker decides to baptize himself, in one timeline he goes through with it and changes his name to zachary, in another timeline he doesn't go through as he thinks simply taking a baptization will not cleanse him of all of his past sins.
- in the timeline where he DOES change his name, he finds "a lady", raises Colombia, marries lady comstock (but lady comstock cannot conceive a child).
- in the timeline where he remains Booker, he becomes a private detective, meets his then-wife, and has anna while his wife dies during child birth, but piles up a large debt.

- now the booker (zachary) from the timeline where he raised colombia wants a child, but he doesn't want any other's child, he wants his own child, so he has "a lady" open a tear to one such timeline where he has a child of his own and acquires/steals it.

this answers the question of why comstock went through all the trouble for liz, why not take anyone's child, because he wanted his own child.

lady comstock is a sad case, she was murdered by comstock himself, but the blame was put on the black maid girl (which caused the entire revolt to begin), the "ghost" version liz pulls out of the tear is one such possibility, that comstock has memories from two different timelines piled up in her head which is why she's all freaked out.

She also thought that Liz was conceived via "A lady" and Comstock's affair, which is why she blames Liz.
Regarding the possible future where New York is under attack.

What you see, with the new york under attack thing, is one of the possible futures, after song bird snatches liz away, you see booker running into some fog but suddenly he comes out in snow, that's because the future-liz from THAT timeline pulled him to show what the consequences are, and how to STOP it from happening (the note she hands to him).

liz is very clear that every time booker tries to take on songbird head on to try and save her, he dies, he simply cannot beat songbird, so future liz pulled booker, before he fights songbird, into the future to prevent that and showing him an alternate solution.

the MORE interesting question is how all this figures into Rapture, what exactly do Liz's comments regarding "there's always a lighthouse, always a man" etc mean. Are Bioshock 1 and 2 set in one of the possible futures from a different Tear ? is big daddy THAT tear's version of songbird ? was Jack (BS1 protagonist) the Booker of that tear's timeline ?

so many juicy questions .. which I hope get resolve in the post mortems of the game's plot.