I feel that the episode The Return of Harmony, which serves as the Season 2 pilot, is really more of a Season 1 finale.
First let's look at Season 1's finale. It concludes the only real story arc in the Season, but other than that and having 2 musical numbers it isn't all that spectacular. It really doesn't feel like it ought to be the season finale. However this sort of fits with the theme of the episode, that some things aren't as great as you would expect them to be. A fine meta theme, but ignoring the metaness it's not a great theme for the finale.
Now let's look at The Return of Harmony. It has Season 1 finale written all over it. It's full of spectacle, its spread across two episodes, and it does a lot to play off of Season 1, and it's final moral is very season finale worthing. The thing that probably screams Season Finale the most is the climax, where there is a montage of scenes all throughout season 1 when Twilight reads the letters that she been writing all through the season and rediscovers all that she learned about Friendship. It really does feel like the climax of Season 1. It should also be noted that the return of harmony was produced with season 1.
Lastly let's look at Lesson Zero, the next episode. It really seems like a pilot for a second season has it has the feel of bringly as back to the show, while adding some new stuff. First there is some stylistic changes: the opening theme has been changed slight, and unicorn magic is now colored. It also indroduces an important new concept to the series: other ponies writing letters to Celestia. While all of first seasons episodes ended with Twilight writing a letter on Friendship to Celestia, most of the letters in Season 2 are written by [s]Spike[/s] [s]Rainbow Dash[/] other ponies.