Even though the final episode of Deadwood wasn't a planned finale, in retrospect it kind of wrapped up the show nicely. Granted there were threads left untied, but, for an unintentional ending of the show, Swearengen making the decision to kill an innocent girl to prevent a war that would destroy the town, then cleaning up the blood with his own hands, was great. The show ultimately was about the good, bad, and ugly of the people that settled the frontier, and that scene encapsulated it in a nutshell.
Speaking of HBO shows, an ending that ranked up there with Sopranos for craptasticness had to be Big Love. Some guy, who's never been a particularly major character or threat, suddenly losses his marbles and shoots Bill. Where did that come from? What was the point of that?