Stargate Universe. Found most of the stargate tv series a bit too family friendly, this one was grittier and had Robert Carlyle as an insane professor, but only saw 2 seasons before being pulled. Also had John Scalzi as a consultant researcher,one of my favorite writers.
Firefly - A cult one now, Fox got it badly wrong on this one is the common perception. Also possibly the last good thing Joss Whedon did (though I did quite enjoy Dollhouse, at the beginning anyway).
Jericho - A post apocalyptic drama about survival, was cancelled only for various channels to try and better it with newer, bigger budgeted shows on similar themes, and each one pales in comparison to Jericho.
Journeyman - Cancelled before even half the 13 episodes had show, shining example of something never being given a fair chance.
The Booth At the End - Not sure it was ever officially cancelled, fascinating 2 season drama based on people making deals with a devil-like man who takes up residence in a local diner. You get to find out what they are willing to do to get a wish granted, pretty eye opening on occasion, never dull.
Flight of the Conchords - OK, not cancelled at all just stopped making 'em to focus on other stuff. Still, fantastic series.
Dexter - Just started waiting it this year and already through 5 seasons.
Carnivale - Two seasons again, had pretty much everything to make it a great watch. Set in the 1920s dust bowl of America centered around a circus and freak show with some supernatural themes.
Nowadays I hardly bother with new shows unless I know they are renewed for a second season at the least. Unless it is meant to be a defined length - over bloating and stretching out big shows is something equally as bad (see 24 / Lost). I have a family now, I don't have the time or patience to invest in something that won't be rewarding, or isn't given a chance.