The Pretender. I was one of the last twelve people watching it on network TV and they ended the season with a cliffhanger. I know it continued on cable but I didn't have access to it (and heard it went quite lame). I still don't know how they ended it.
For a really old school show that ended too soon was Star Trek (original). It was just a show before its time. Although the stories continued it could have had great staying power. I'm not discounting the continuing franchises, but the original still holds up well.