cogadh: The "All Good Things..." episode of Star Trek TNG, hands down.
That Angel ending, as cool as it was, wasn't actually the ending of the story. Angel, just like Buffy, continued as a comic book series right where the TV series ended. Angel actually ends up catching and taming that dragon. He named it "Cordelia".
Admittedly, I haven't read them, but I have to consider these comics an abomination. The final episode was superb--it was right where the show needed to end, and any attempt to continue the story from that point completely undermines the point of it.
Among the previously mentioned finales, I love the Battlestar Galactica finale, warts and all. Cowboy Bebop ended wonderfully--"You're gonna carry that weight." And The Wire really got me for that moment when Bubbles finally went up that staircase.
The Shield also deserves a mention. Nice, messy ending for a nice, messy cop drama.
Cryxo: Hah! It would be funny if somebody said "The Sopranos".
Actually, although I had mixed feelings about much of the episode, the final five minutes or so were absolutely perfect. And not just because of the hilarious fan reaction.