The ending was a bit of a surprise but I thought it was good. Dr. Horrible was basically a super villian want to be (like Johnny Snow!) who had a sort of romantic view at his profession as shown by the first two episodes. He sort of accepts it in the end of the third and is faced with the harsh reality of what he aspires to in the end, once again thanks to the fact that he isn't really good at what he does, and in the end despite getting what he has always wanted it leaves him empty inside.
I hope they do more of this in the future, not sure if they have any set plans for continuation (if someone does know I'd like to be filled in).