I can't actually think of any bad set-up. They all serve their purpose in hyping up the fans. As long as they can do that, it's a great signal. With that said, let's get to it.
For me, the best build-up to a finisher has to be Edge's spear. It's what, for me, makes the finisher one of the best in WWE. The spear is such a simple move, but Edge makes it into an event. From the moment you see his eyes widen to when he gets the pinfall, I am utterly captivated. That's what a signal for a finisher should do.
Randy Orton's mat pounding is also great. He is so calm and methodical throughout the match, occasionally showing his explosiveness. Then, when the time comes, there is just this release of energy and it looks great.
Honourable mention goes to Santino setting up for The Cobra. The fact that it gets such a huge pop despite being absolutely ridiculous makes it a great set-up in my book. And don't try and deny that you don't join in with him at home. Because I know you do. Everyone does.