Ending- Spoilers!

I believe she was real. Kristen explained in a recent interview that her character just quits. She interacts with too many other characters for her not to exist.

Valentine simply left Maria for good. She was very frustrated with Maria's dismissal of her opinions about meanings of many aspects of the play. She told Maria this several times throughout the movie -- Maria could get anyone to rehearse lines, that Maria giving no value to Valentine's take on anything was hurting their relationship. On their final hike just before Valentine split, Maria even stated they were not going to see the snake (the cloud formation), and she challenged Valentine's ability to even know where they were. At that moment Valentine had had enough. Bye bye Maria.

Another take on Valentine's leaving: on the hike they were discussing whether a certain play character (Helena) had simply left at the end, or died. Maria stated the character had died, but Valentine pointed out she simply disappeared, possibly reinventing herself somewhere else. Maria dismissed Valentine's take (once again), so Valentine disappeared herself to drive home her point, and to end her frustrations with Maria.

Rest in peace, Roger Ebert. You were the best.

The film tricks you as one of the characters never existed.
I refer to Kristen Stewart's character.

Yeah, I don't buy the "fight club" explanation at all. It doesn't fit with the scenes where Val is doing stuff on her own - including the opening scene.

In particular, the "breakdown" scene on the foggy road would make no sense if in fact Val wasn't real. If it was in fact a fantasy of Marie, she might plausibly imagine Val getting lost, crashing, becoming panic in the fog, but getting out of the car and vomiting. Something completely out of the character's central presence as would be persistent in the mind of a disillusioned person inventing her.

Also you have issues with Val driving the car around in several scenes. If they wanted to leave open the possibility that Val was an illusion, it would have been perfectly non-committal to re-write those scenes with both women being driven in the back of the car.

Val was real. This was not a film like "The Sixth Sense" or the American TV series "Mr. Robot".

Val simply had enough of Maria and moved on. She quit. The fact that we never hear about what happened to her in the epilogue substantiates this (at least to me). In my opinion, if Val had really just disappeared, it would have been devastating to Maria and she likely would not have been able to do the play. The fact that she is still doing the play just a few weeks after Val leaves is evidence that Val simply took off to find a new life (remember she says that about Helena right before she leaves). To me it's just so obvious that Val just left for a new life.

I don't think there should be any doubt that Valentine was a real character. If she was not real, then almost all the scenes could not have been real either, and the entire film then had to be just some kind of hallucination or imagination on Maria's part. So the real question was why the script made Valentine disappear in such a manner, and I personally think that scene was a mistake. As had been pointed out, the scene might have meant that Valentine (just like what she believed of the fictional Helena) just disappeared to reinvent herself somewhere else. That, however, meant placing more importance on symbolism than the basic credibility of the scene. That Valentine vanished totally in less than ten seconds was not only physically impossible, but also totally out of her character to leave Maria in such a sudden manner.

Of all the women in the film, Valentine was actually the one with the most balanced psyche. She performed her duties ably and responsibly, and she and Maria undoubtedly had a liking for each other. But she wanted her views - for example on the interpretation of the play - to be taken seriously and she was not intimidated by her boss' fame and position. She was more than twenty years younger than Maria but was actually the more mature and level-headed of the two. Maria looked upon Henrik as just a douchebag, but Valentine was able to recognize that as an actor he was good. Maria thought Jo-Ann to be the typical modern actress, with little acting talent and prone to scandals, but Valentine said she was cool and that she admired her for her boldness and intensity. Maria dismissed modern movies based on science fiction and heroes with superpowers as mindless, but to Valentine they might just be expressing old values and messages in a new form. Most importantly, in regard to the play, Maria (and also Jo-Ann) thought Helena to be washed-up and pathetic - and in addition playing Helena forced Maria to recognize and cope with middle-age and the changes (in the film industry and in her personal relations) with the passage of time. Valentine, though much younger, was the one who was able to see value and dignity in Helena's character.

Thus in a way, Valentine represented the words of wisdom and might even have been regarded as the moral center of the film. She simply would not have left Maria in such an abrupt manner. It was doubly disappointing that - whatever the symbolic significance of "The Snake" was - Valentine was the one who missed the scene of its coming.