The first two seasons of Deadwood were exceptional with Ian McShane being the primary reason. Season 3 started to lose something by dwelling too long on the evil George Hearst character. I'm not sure the show could have stood up a compelling complete fourth season but I really would have liked some closure instead of yanking the cord like HBO did.
I believe it was originally set to be only 2 seasons, which is fine.
Then they decided to extended it, so they added the Sophie plot.
Then the execs changed their minds and cancelled it anyway without wrapping up the new plot. Doh!
Whilst I was sad Rome only had 2 seasons at least it's fairly self contained and ends well.
Deadwood though has to be my top pick for a bad incomplete ending.