I guess it depends on the type of show it is, also. Sitcoms/comedies are usually easier to watch a few episodes, enjoy, and then if that's it, that's it. Even the ones with developing plot lines are easier to "watch and forget." For instance, even though I missed it when it was on, I watched Better Off Ted on Netflix (once two years ago and again a few months ago). The "will they/won't they" relationship between Ted and Linda only seemed to move forward just as the show ended. Do I wish the show continued? Yes. Do I feel it was a waste of time because the show was cancelled? No.
And it's not as if every show gets cancelled right away. I find that if a show can hang on for at least two seasons, the networks usually allow the writers to wrap things up. And there are plenty of shows from last season which are getting a second season.
With me, I tend to bail on a new show before it gets cancelled. For instance, I stopped watching The Bionic Woman two or three episodes in. Conversely, I stuck with Lost and saw it through to the end. A little mix of being able to spot worthwhile shows and being lucky, I guess.
The thing is, with the way we consume media today, you have more control. With Eureka, I started watching with Season 3. Between re-runs and Netflix, I was able to catch up what I missed. I'm doing the same thing now with Warehouse 13 as I'm watching the current season, but am still on very early season 1 on Netflix.
A year and a half ago, I tried both 30 Rock and Parks and Receration on Netflix. With Parks and Recreation I timed it (quite unintentionally) perfectly, where I finished the two seasons on Netflix in time to watch the third season first on Hulu (the first two or three episodes as I don't have Hulu Plus) and then I was able to catch the rest on TV. With 30 Rock, I missed out on the first half of season five, but caught the second half, again, between Hulu and live TV.
Community, I watched the first two episodes of and enjoyed, but for some reason, didn't stick with it. After hearing of how awesome it was, I watched the paintball episode on Hulu. I started watching week-to-week with season 2 and finally got the season 1 DVD this past Christmas.
Today, it's possible to skip the first season of most shows and catch up, later, if you are willing to pay. Netflix is a little slow in getting the new season of shows, but once you have it, it's a flat $8/month to watch unlimited episodes. Same thing with Hulu Plus (which, I think have the episodes a day after they've aired). There's also iTunes, which you can buy individual episodes or full seasons of shows.
I don't think I've ever been permanently scarred for watching a show that got cancelled. Yes, it's frustrating to watch something and have it yanked out from under you, but that's life. If you avoid all new TV shows because they might get cancelled, you risk missing some good stuff (though, like I said, if you are willing to pay, you can still catch up).
