I've seen a few blue posts recently, and even heard in an interview with Ghostcrawler, that Blizzard's team want to add in more things for PvPers to spend their conquest points on. I agree that it's a little tiresome to have a huge glut of conquest points and absolutely no use for them. But, one of the posts to which Nakatoir recently responded said that something was needed to give players an incentive to keep doing arenas after hitting 2200.
I've said a few times recently in discussions about this that I feel arenas are their own reward. I enjoy arenas enough that I will keep doing them when I'm capped for conquest, when I'm gaining rating, whenever. Arenas are fun enough for me that I don't mind not getting shiny things in return for doing them. Brawler's Guild, on the PTR at least as I am too unlucky and too poor to have an invitation on live servers, was another thing that I felt was its own reward. If the queue times are short enough, I would keep on doing it for hours, despite not getting anything back for it.
But I'm curious about you. Are there things in WoW that are fun enough for you to keep doing them with no loot? No points? No mount or toy or gear to aim for? Or does everything need to have a reward tied to it to keep your attention?