An interesting question is 'how to win the game'. Next to various conditions you can set for winning you can identify several often use mechanics:
Note that this last mechanic is only to be used for fast games. Playing Risk for 'world-domination' means that the early drop-outs have to wait for hours (or just go home). An interesting issue that comes with this subject is the information you have on your competitors: can you see/know how far ahead they/you are (and maybe modify your strategy) or is it really 'sudden death' - out of the blue?
An absolute killer is a game where everone can lose or a total tie (no one wins), especially when that situation can occur randomly. If you want really want to frustrate your choose both as possible outcome. Typical examples are Supremacy, Republic of Rome, Nuclear War, Wizzards (Avalon Hill), Arkham Horror and Paths of Glory. Never to be played again.
'All player loose' can be an important feature however in some games: it may encourage player to 'beat the system' and thus encourage cooperation. Note however that a sudden death for all, issued by a player that is about to loose, remains frustating. A typical example of a good implementation is 'Lord of the Rings' by Knizia.
A rather popular way of winning these days is winning by points, derived over several checkpoints during the game. Every X turns the situation is evaluated and points are given. After N times X turns the game ends, where the player with most points wins. This could mean that even if your end position is pretty poor, you can still win the game. Or, more interesting, if you had a bad start you still can win the game if you have a better (not necessarily the best) position during the game.
Elimination the other players
A typical example is a Risk scenario: dominating the world. In general it's not a good thought from a commercial point of view to have players eliminate each other one by one. Nothing is more boring than to wait (for hours) until the last two players have finished. This happened to me on various occassion (Risk, multiplayer Magic, etc.)
Every once in a while you want your opponent(s) to move within certain time. You can use a simple (second) clock for that or an hourglass.
A chess clock might also be convenient, but is usually (too) expensive.
Turn limited games
Over the last decade I have seen more and more games with a limited number of turns (DungeonQuest, 26 Turns). Player with most achievement (money, tokens) wins.
Tile / card drawing games
The game (might) ends when all tiles / cards from a certain kinds are drawn (Aquire, although this has never happened to me though).
No Goal/Win games
Do no-goal /no-win games exist? YES! Are they popular? YES!. In the computer age various games have been developed without an ending. Typical examples are The Sims and various multiplayer online games. A nice example is Diablo2. Although the booklet tells you to beat diablo, the gamers sometimes play D2 for years, for the simple fact that they 'want to be rich' and have better items than others (in order to win duels). As such, collecting (randomized) items becomes a goal on itself. And the fun part: this never stops since most items are unique.
Do these games exist in boardgames? Not that i know. For some reason, boardgames need to have a goal to be achieved withing a limited time frame.