I don't even want to think about all the series they've cancelled that I loved. Dark Skies, VR5, Earth 2, Above & Beyond, B5, Roswell, Dark Angel, they all get cancelled! I know that Dark Skies got weird towards the end, but... I loved it. I loved him. Ah, how I drooled.
Anyway.
At the very, very top of my list - Dr. Who. I grew up on that, every Saturday my dad and I stayed up until midnight and recorded it onto Beta tape. We've got almost every episode, I think we're missing about 12.
I loved the Lexx movies (1-4) and hated everything that came after.
I really enjoyed Above & Beyond, but the series ending was just terrible. They must have got word of the cancellation days before filming the finale, it was so hastily tied up.
I also enjoyed Earth: Final Conflict.
As far as current shows go, Farscape, hands down. I love that show. With an abiding love. Oh please, please, please don't let that show be cancelled.
Andromeda is a close second, though, because who wouldn't like Hercules as a space captain!
My favorite show ever, though, is Buffy. It's not sci-fi, I know, but I had to put that in there.