Just to be clear before I say anything spoiler-y, I'm talking about the ending; not just what happens after one successful escape attempt. There's a thread here about successful escape attempts for those interested.
Now, with that out of the way...
Just saw the credits after 10 or so successful escape attempts (after 40 escape attempts total and 40 hours of play time). Overall thought Supergiant did a great job with the story in this game. Specifically with the main plot and the ending, I thought it was really smart to have Zag not able to stay above the surface, forcing him to escape multiple times to get more information from Hades and Persephone. I think that persistence was a thing that made me keep coming back to it (aside from it just being so damn fun to play). If instead, you just escaped once and that was it, I'm not sure if I would have stuck with the game like I have so far.
Plenty of people have already talked about how this game does a good job with adding story to a roguelike, but I'm glad to see it stick the landing like that. I think that flashback early on about how Persephone left the Underworld is a good driver for you to reach the surface. Then learning more about their backstory and ultimately everybody getting back together is a nice payoff.
That said, I'm not sure--and wouldn't be surprised--if there is one other major thing I haven't seen yet, whether that's an ultimate final boss or a second ending. Leading up to the ending, I was half expecting the game to...
...end with Demeter being the final boss. Between how she is the most important of the Olympians in the game, the background information with her freezing the surface, and people worrying about what would happen if the gods found out what was going on, I pictured Demeter showing up to take Persephone back. (Not that I'm asking if anybody knows. That was my theory / my guess if the game has something else up its sleeve)
All in all, I think this game is really great. It's easily one of my favorite games so far this year.