Most of the classic cancelled TV shows like Freaks & Geeks, Firefly, Wonderfalls, Dead Like Me, Pushing Daisies etc were a bit before my time, ( I love those but saw them later on) but I've felt some pain in my time.
On the subject of guilty pleasures, the first few I was really devastated by was The Sarah Connor Chronicles and Dollhouse lol. Those were some of the first serialized shows I really got into heavily and I was super bummed when they went off air. I was on a pretty good luck streak for years after that till they pulled the plug on Hannibal, which obviously isn't a surprise with Bryan Fuller at the helm, but the show was getting really good.
Recently was sad to a bit of a modern smart sitcom slaughtering first The Mick with Kaitlin Olson go after 2 seasons, then the Santa Clarita Diet after three. Both of those shows had come a long way from their early episodes IMO, and were getting into some really good social commentary.