My thoughts here are directed to shows that ran their course, not shows that were truncated by their networks. For example, Babylon 5 pretty much ran the course that JMS had intended for it, but Crusade did not.
So, off the top of my head, we have the following shows:
Battlestar Galactica: I watched the original run, until the start of the third season, and usually found myself cussing at the screen at the end of every show, because they always tied up all the complications at the end in a neat, but stupid, package. However, I loved the more recent series...until the last episode. It left me with the same feeling of "why did I bother watching this crap?" as the old series had.
Lost: I had suspicions as to the likely ending, sometime in season two, so this ending was fairly satisfying to me. Fairly. I still think that they left way too many threads untied, but there you go.
Forever Knight: I was shocked by the ending of this series. Utterly shocked. Still am.
Rome: Well-planned, beautiful mirroring of the commoners and the nobility. Outstanding.
Joan of Arcadia: Interesting idea, occasional bursts of excellence. It ended leaving us hanging, probably due to the networks not picking it up, but it did, at least, leave us with an ending, rather than just another episode.
Gilmore Girls: Yes, forestcats actually got me to watch this with her, and it definitely had an ending, which seemed to suggest that our present culture pressures women to be with men, and that not all women need that. Or at least, that's the impression *I* got.
Northern Exposure - you know, I just realized that I still haven't seen a significant number of the last season's episodes. I MUST RECTIFY THIS!!!
Babylon 5: Seems to me that this was the first TV series I EVER saw that truly had a planned run, with specific things happening at specific times in the run. I really liked it.
The Prisoner: The original one, not the recent one. It had an ending, but the ending remains open to wide varieties of interpretation, which is part of the joy of watching that series.
I'm sure that I've missed a couple of series that I've watched all the way through. Does anyone out there have any other thoughts on the subject?