Firefly! xD.
Farscape was the show where the aliens would say like "Frell" and stuff instead of swearing yeah? That wasn't cancelled, it finished with the main human character dying.
Uuhm not so much cancelled, but Supernatural ended in such a way I thought "wtf? That was lame". It ended in a way you'd think that the budget was whittled down to about $5, and at the end they just had to do something to end it with that amount of money.