I'm never sure how to judge whether something is a "favourite" or simply "a show I liked", but in any case I can't think of any with examples that fit your criteria for either.
I recently endured the UK version of House of Cards, the ending of that was naff, but then so was the whole thing. *shrug*
The most recent show I enjoyed watching was The Wire; I'm sad it ended, but not with how it ended. Though the "start" sequence (which occurs 3-5 minutes in) seemed endless at times...