Traditionally a combination of border types are used, for example any combination of:
- Water
- Cliffs (fall to your death)
- Mountains
- Lava
- Forcefields (better than an invisible wall)
- Impassable forest
- Fences/walls/buildings
- Instantly fatal opponents
- Game-specific arbitrary limits (e.g. collar blows your head off, game ends because you abandoned your quest, etc)
- Limited resources (e.g. theoretically unbounded but you run out of air/die of radiation poisoning/etc)
- Boringworld (can walk forever, nothing interesting will ever happen)
Islands are fine, but I personally like a combo both for variation sake and because I secretly believe I will find some way through. ;)
You forgot mine fields and angry animals that will eat you! :D