Well, I decided I wasn't going to count 2-season shows... if I did, I could name quite a few whose 2nd season was better than the first. This Life comes to mind - good first season, awesome second season, and one of the best series finales ever. It's another example of British shows ending at the height of popularity, instead of dragging the show endlessly as long as its ratings are relatively good. (But then they spoiled it all by making a bad "10 years later" special...let's just pretend it never happened.)I guess this is supposed to be a thread about science fiction shows, but someone mentioned "Arrested Development", so I think it should be okay for me to mention the U.K. version of "The Office". When I first heard it ended after only two seasons despite being the hottest show in the U.K., I thought that sounded crazy, but looking at the state of shows like the American version and "The Simpsons", I keep feeling more and more respect for the decision of Ricky Gervais & Stephen Merchant to end the show in a way that would let it go out on top.
I don't see much difference between the two seasons, but from what I recall season two is just as good as season one, if not better sometimes, and the ending to the second Christmas special (which I guess can be considered the series finale?) is one of the best endings to a TV series I've ever seen.
I have to disagree on Battlestar Galactica and Lost - BSG's last season was its weakest. And while there is a lot I enjoyed about the last season of Lost, I still have to say it was its weakest. I loved the flashsideways and I enjoyed the finale, but the whole Island storyline with Jacob and MIB was lame.
The last season of The Sopranos was good, but not its best by a long margin, that would be either season 1 or season 3.