My choice would be Carnivale.
For those of you who couldn't be bothered in the earlier portion of the 2000s, Carnivale was a David Lynch-esque fantasy show on HBO. It took place during the depression in a dust bowl-era traveling circus. It had an extremely rich and complex mythology that was just really starting to unfold by the second season, and its writer/director had a planned story arc for an entire 6 seasons. His story had a conclusive end, a complete series of plot elements, and an already-conceived religion as its background. It was stark, grand yet minimalistic, well-acted, well-plotted, and well... cancelled.
It lasted 2 seasons, ended on a giant "What the fuck" cliffhanger, and got cancelled due to, unfortunately, ratings. No one has the patience for this kind of show, save for the gigantic and unsatisfying fluke that was Lost. I doubt it could have ever, in any circumstance, gained the kind of audience necessary to keep it airing for another four seasons, but honestly I'd give anything to see what they had planned.
So, there it is: Carnivale.
Or Firefly. Or Angel. But Carnivale first.