Blake's Seven (What? Yes, I know I wasn't watching it when it got cancelled; I was 8 and it wasn't even available in the States. It still ended before it should have.)
Doctor Who (*spits randomly in the direction of Michael Grade* We shall speak of this...no more.)
Aaaand...do I get to count Forever Knight? Because I'm not sure whose idea the timing of the show's ending was, but it certainly ended before it could rise from the steaming pile of crap that was the final season...
Edit: No, because I'd much rather whine and wail about The Others, which ended on a fucking cliffhanger where they were all dead (ok, so did FK more or less, but the characters on The others were meant to come out of it) and the evil things (thought they) were winning! So ashamed that I didn't remember this til I saw it in djinnanna's list.
Edit 2: Wonderfalls! -- bastards cancelled it after I'd finally got the chance to catch my first episode-- saw it at ConneXions, loved it, came home and that very week, they annouced the cancellation.