First off, as mentioned by previous posters, at least add "SPOILERS" to the title, because there are some pretty heavy spoilers here.
Now then, on to the topic at hand. I let him live. He seemed cool, so I'd feel guilty if I killed him. That said, I understand full well the argument in favor of killing him. Although he's been a huge help and does seem to be in control of his nature, there's certainly a chance that he'll one day fall to his natural urges and become a threat to the world.
There's also a chance that he's been a manipulative mastermind this entire time and has only helped defeat Alduin because he wants the World Eater out of the way of his dominance. Seems a little silly, I know, but that much planning and manipulation isn't exactly intimidating for a being older than time itself. However, if it did come to that, there would be warriors to kill him. Sure, he'd come back, but it'd be like Dracula and the Belmonts (and Morrises).