The obvious: Firefly. Screwed over massively by FOX, Serenity ended the way it did because Whedon knew that was it for the franchise.
Another Whedon creation, Dollhouse, was able to finish two seasons and was wrapped up, but I can only wonder what could have been had he had a longer run.
Stargate Universe was cancelled after shooting on its second season wrapped, and ends on a massive cliffhanger.
Star Trek: Enterprise had three crappy seasons, but then they brought in Manny Coto and he did some good work on the fourth season. It's actually pretty good if you ignore the first two episodes and the series finale. What he's said about what he would have done with a fifth season makes me wish the network executives hadn't been so short-sighted.
Crusade was screwed over right from the start thanks to TNT insisting that there be a one-sentence encapsulation of its plot, which would have been wrapped up midway through its second season in order to focus on what J. Michael Straczynski wanted to do with the show in the first place. Unfortunately, the executives meddled a lot in things like costuming and aired episodes way out of order, to the point where there is no order in which to watch the episodes that doesn't lead to at least one continuity problem.
Andromeda had a full five seasons, but Robert Hewitt Wolfe was forced out midway through the second season because he wouldn't turn the show into the Kevin Sorbo show. He later released a summary of the remainder of the series as he had envisioned it, which is very different from how it ended up, mostly because it had characters other than Dylan Hunt doing things.
The Lone Gunmen could have done a lot better had it been made a few years before it was. As it was, The X-Files was declining in popularity by that time and any spinoff wasn't going to do that well. We never really get a proper resolution to its cliffhanger, events in the ninth season of The X-Files merely implying that the characters escaped from their predicament. It did get a wrap-up episode on The X-Files, however, but that episode didn't have Mulder, the X-Files main character most closely associated with the Gunmen.
The other spinoff of The X-Files--though here the connection is a bit more tenuous--Millennium, got three seasons, but each season was markedly different from the others, especially regarding the motivations of the titular group, thanks to each season having different executive producers and nobody (for instance, Chris Carter) being willing to make a definitive call about who they are, what they do and what their aims are. It also got a wrap-up episode on The X-Files, but was similarly unsatisfying.
Things were just getting interesting early in the second season of Tru Calling when it got canned. Its final episode didn't air in North America until years after it was made.