The above article best explains my complaints with the Lost finale better than I could. I cared about the characters tremendously and was glad to see (most of) them get their happy ending, but it still felt like a cop out. Also, I think adding purgatory in to your final season when you spent five seasons swearing your show had nothing to do with that is a dick move.
Another thing bugging me... all this discussion of how series have ended means everyone is spoiling Battlestar Galatica for me. It just ended last year! Not all of us watch a show as soon as it airs! *grumble*