For me Farscape, Invasion, and Deadwood would be the big ones.
I was really enjoying Invasion at the time it ended. It started really slow and lost it's audience so I suppose it was always doomed, but it was finally going somewhere interesting and then it got canceled.
I just watched Farscape for the first time last year, and am already re-watching it a second time and probably enjoying it more than I did the first time. It's such an original show and the production values are so high! There should be seven seasons of this at least.
Deadwood is a big one too. You'd think that the whole purpose of having this series would be to build up to the big fire that nearly destroyed the town, and we didn't even get that. Besides that, it was a great show.
Enterprise was really starting to get good but there is so much other Trek out there that I don't necessarily feel a void is left by it's cancellation.
Rome was great and could have run longer but at least they wrapped up the story nicely.
A couple of more shows I wouldn't have minded seeing more of were John From Cincinnati and Huff, but it's not as big a deal as the other shows I mentioned. John was just such a weird show (I'm usually up for weird). Huff had some great dramatic performances and Hank Azaria was great in it, but nobody was watching it. Huff did get a conclusion of sorts though the Teddy storyline ended on kind of a down note (to put it mildly).