There are alot of great shows cancelled much too soon;
Quantum Leap: That was a great show that was much underrated and had a unique premise that should've gotten at least 5 seasons to end it properly. Sam Beckett shouldn't have been stuck leaping forever and I was really disappointed with the ending. Although at least that was better than some current television shows and how they end.
Brimstone: A great Fox series that only got one complete season. I liked the funny nods to religious material while being something not done before on TV. It was the forerunner for what the CW did later with Reaper only the humor was abit darker and more sarcastically themed. Unfortunately, FOX cancelled this because of a crappy timeslot and poor ratings which was a real shame because Peter Horton and John Glover made that show great with their outstanding acting.
Reaper: I can't mention Brimstone and not mention what CW did with Reaper. A great show that even involved Kevin Smith in the beginning as a show writer/director. Overall a hilarious show that got cancelled after season two because the CW didn't believe the show could get ratings. A brilliantly funny and smart modern approach that should've gotten alot long than it did.
Lois & Clark: The New Adventures of Superman I know, it was a more romantic drama show than a superhero action show. Still, they had alot of great ideas that elaborated on the Superman/Lois Lane mythology and even added their marriage to the mix. They did a great job staying loyal to the comics and managed a very sarcastic and smart one-hour weekly show. Yet another show that had a whimper of an ending which really made no sense. Apparently the show producers didn't know beforehand that season 4 was the final season. I would've liked a final farewell season to tie up the loose ends and give a definitive ending for both characters to pick up again later with a movie or something to finish up. While this was considered more a chick type of show, it was smartly written and good enough to interest me.
There are probably alot more I'm forgetting but those are the major ones I was really sad to see cancelled way before they deserved it.