Arrested Development, as has been stated, is the poster child for this thread. Firefly is up there for me, and while I've never seen Space Above and Beyond if it's truly better than Firefly color me very interested.
One that hasn't been mentioned: Rome. It got good reviews but was just too expensive for HBO to continue (I guess), which lead to a very good, yet very rushed feeling second season. Also, reading some of the plans for the future of Rome (the introduction of Christ would have been awesome), it makes me even more disappointed.
I skimmed the thread so could have missed it but, has anyone mentioned Deadwood? It made it 3 seasons, yeah, and I'm not even sure it was canceled per se (I seem to remember contract disputes, etc...ending it, but I could be wrong). It just kills me that there is no real ending.