There are shows that when I watch the last episode, I find myself sad that they are no longer on.
1. Lost: While I found the ending itself (as well as a lot of the last season) to be a letdown, I still found myself sad that the show was done. I had many fond memories of the show, and my favourite season was the second, as I loved the entire mystery involving the Hatch.
2. Fringe: I loved this show. It has the distinction of being one of the few shows that I watched the intro in it's entirety for the entire run. And the last episode? *sniff*
3. Magnum P.I.: Although Season 8 wasn't the greatest, I find that I miss Thomas (great name, by the way) Magnum's adventures in Hawaii.
4. Heroes: A show that started out so awesome, got really convoluted at the end. I still dug the show, and wished it was still around.
There are others, but this will do for now.