Jeanne dies. Again. Bayonetta meets what are essentially the versions of herself from Bayo 1 and Bayo 2, combines with them, and fights the bad guy, but 'dies' after taking him down because her link to the summoned Gommorah demon is severed and it kills her- IIRC this is the beginning of Bayonetta 2 and is how Jeanne dies in that game- She is in the same state as Jeanne was in Bayo 2 and both her and Luka get taken down into hell.
It also appears that Bayo 1 and Bayo 2 unfuse with Bayo 3 so they may still be around. None of this is explained.
After the credits, there's a fight scene where Viola has to fight a kind of dark shadow of Bayonetta. She wins and then Bayonetta's spirit bestow on her the name "Bayonetta." It then cuts to Rodin's bar and she's now got Luka's scarf and Bayoneta's glasses on and has taken over for her, but is kind of a clumsy goof because she can't see shit with Bayo's glasses on.
There is also a "To be continued in a new generation...." screen.