I don't think anything exactly ended 'The Gilded Age' simply because I don't think there ever was one.
In my opinion, I don't think WWI was what ended the Edwardian Period (and when I say Edwardian I mean 1900 to 1918.) It was a matter that it went out of style. If you look at what people normally associate with the "Gilded Age" (or Edwardian Period) you hear people talk about strict social mores, people being scandalized at the sight of an ankle and overt luxury all around - at least that's what school textbooks teach that.
If you seriously look at it, what we consider the "Gilded Age" was nothing more than a period in history where technology was developing at an accelerated, but steady pace - it (the speed of technological advancement) was slower than say the previous period in the late nineteenth century when most of the technological advances that make modern day-to-day living possible were invented. The Edwardian Period, for the most part perfected technology rather than develope it.
I KNOW people are going to disagree with me here, and perhaps they no better when it comes to technological advances between 1900 and 1920 or 1918. But I know that there wasn't a huge leap forward in the household technology department, there may have been leaps and bounds in other areas, but basically not anything that I consider greatly contributed to the myth of the "Gilded Age."
I call it myth, not out of disrespect for this board, but because I believe that it is a limited term. The average person did not have an enourmous income, they didn't live in luxury and by no means did they live in a gilded age,but they lived as comfortably as they could make themselves. People worked hard and they played hard. America was mainly an agricultural country, England I don't know. BUT, only the richest most fabulously wealthy can have the "Gilded Age" term applied to them.
If you look at how things were then, you'll find that nothing has really changed from today's society other than the attitude people had towards things. Out of wedlock births were common - perhaps not as common as today - but still common. People kept it quiet. People didn't talk about things, not that it was scandalous, but it just wasn't talked about. There were just as many social problems today as there were then.
So the "Gilded Age" basically went out of fashion, if you ask me. It had its time and people moved on and a different period took over. By 1918 the War was over, people wanted move on and they did. Culture became less formal. You never see any drastic changes in the fashion world and you don't really see a huge drastic change in the social world - other than Women's suffrage - and even then it wasn't a cultural revolution. It was a gradual change and it would have happened sooner or later.
I know this is a very laid back look at history, but if you look at history it's also basically very laid back - only standing up when wars occur and enormous disasters occur, but change is gradual in most cases. The Industrial Revolution wasn't exactly a revolution - it was a gradual change, faster, yes, but it wasn't overnight.
So, again, if you ask me, there really wasn't an 'end' to the "Gilded Age", it just petered out by itself and something else happened.
(EDIT) Now in law - you will see sudden changes as governments had and still have today a mostly knee-jerk reaction to public opinion. The Titanic is a perfect example of that. But I think this is already well known.
I'm inclined to agree with Brandon on this for the most part. Any sort of sharp timeline where one age ends and another begins is more a later artifact then anything else. The Trappings that made up the Edwardian or Gilded age were already well in place by the time Queen Victoria died, and had been gradually coming in for almost half a century. The Gilded age didn't end so much with a bang as it did with a whimper by fading out as the events leading to the so-called "Roaring '20's" fell into place.
The Gilded Age is an American concept, but it equates very closely to the British view of "The Edwardian Era" as a more relaxed postscript to the Victorian Age. The consensus of opinion is that it ended in August 1914, and with it ended the idea of progress as a continuing and wholly beneficial aspect of human affairs. Thus, prior to WWI, progress implied innovations such as railways, steamships and electric lights, whereas during a after WWI "progress" suggested developments such as chemical warfare and the bombing of civilians.