Since someone mentioned ST:TNG, I'll have to say that while the series finale (All Good Things...) wasn't really that good IMO (not bad; just not one of my favorites), the season three finale kicked ass (Best of Both Worlds). Yeah, it's pretty lame by today's standards with the early-90's non-CGI special effects, and the pre-First Contact design of the Borg, but if you just overlook that stuff, I still think it's the mother of all end-of-season cliffhangers.
On the topic of Star Trek, though, I just have to mention DS9's finale (What You Leave Behind). I know, I know, real Trek fans hate DS9, but screw you guys, it's my favorite Trek show anyway, and it has the most epic ending of any Trek series. Unlike TNG's ending, DS9's feels like a real conclusion, that wraps up all the storylines, and doesn't really leave any loose ends.