To go out in a blaze of glory means you do something awesome and dramatic at the end of your life, career, political post, etc. as your last act; this is used positively
ex. a singer putting out a best-selling critically acclaimed album at the end of their career
Yes. In fact, go out in a blaze is an incomplete phrase, I've never heard it, it's always he went out in a blaze of glory.
Probably has something to do with fighter pilots.
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