Invader Zim. I heard it was cancelled because it was too scary for its target audience. I didn't watch it when I was part of its intended demographic, and now the only episodes I can find are reruns that air at strange times on Nicktoons between the Jimmy Neutron and Back at the Barnyard, which can be lumped together with the "screwed by Nickelodeon" crowd, right up there with Zim...
Firefly, no contest. I still consider it one of my top three favorite shows, even though it had only a few episodes.
I'm constantly sad that it was cancelled... What an amazing series with amazing characters. crying
Most of the ones I had in mind have been mentioned; Pushing Daisies, Firefly (of course), and some other big ones that never had their fair run.
One that I'm not sure anyone would agree with me on is Moonlight. It was cheesy, yeah, but I have great memories of watching that with my mom every time it aired. It had terrible critic reviews (aside from Dohring, who was easily the best actor on the show), but screw it, I loved all of it.