The show I was most upset about being cancelled was BBC's The Hour. It was amazing! The acting was brilliant, the best being Ben Whishaw! They cancelled it after the second series because the ratings weren't high enough! Maybe if they had promoted it more, more people will have watched. Also, they left it on a cliffhanger! That is just evil! heart
Side note: Any Peter Capaldi doubters out there! search on You Tube, The Hour Randall Brown break down scene. It is heart breakingly good.
Dollhouse was an amazing but underrated show, and deserved more than two seasons.
Stargate: Atlantis didn't even get a decent ending, and rather than ending with a movie (or two) like SG-1 did they just moved on to a terrible second spinoff.
I really wanted Leverage to continue with Eliot, Parker, and Hardison teaching the trade to the next generation (maybe including Amy from The Broken Wing Job?). And Nate and Sophie would show up from time to time, because you know they're keeping an eye on their 'kids'.
I know there are others, but those are the three that spring to mind.