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...

I think I remember being sad that Dungeons and Dragons (the 80s cartoon series) never ended, but I might be confusing memory with reading about it later on in life. I definitely liked watching it, anyway.