I thought Act III was a fitting end to the overall story. Captain Hammer's "Everyone's a hero" was just a little too long for my personal tastes, but Fillion played that bit to perfection as the clueless, narcissistic superpowered oaf. Dr Horrible bearing responsibility for Penny's death was, I thought, the right way to handle the character. He's just not very good at being evil and his heart really isn't in it, yet he wants to be a supervillain nonetheless. It felt right to me that he would continue on, not knowing what else to do now that the life of his love was dead -- and since it was by his hands, he becomes emotionally numb, a necessary step in taking his evil goals seriously and understanding the cost of his actions.
I agree completely. I kinda think some people got attached to their idea of what should happen, rather than just going with it.
I know people think it's cliche that Joss killed the love interest again, but I thought it was pretty much the only way it could go down.