Rob Lowe is filming a series in my local town.
Anyway, I don't have many suggestions for adult shows, so I'll draw some attention to Captain Scarlet and the Mysterons. It had a proper story arc that slowly uncovered extra details about the Mysterons, including their methods and weaknesses, and there was a really exciting penultimate episode that turned out to be a dream. The final episode was a clip show.
I'll also make a blanket statement about all shows that end with a cliffhanger before they get cancelled. Terminator: The Sarah Connor Chronicles annoyed me by falling into that trap. Also, on the subject of children's programmes, I'll give a mention to the Sonic the Hedgehog cartoon (well, one of two that were broadcast in the mid-1990s), which was another that finished on a cliffhanger.