The best sci-fi show ever in terms of telling a cohesive tale with a very satisfying ending is Lexx. All the story threads come together rather seamlessly by the finale, and many have had their individual day in the sun. The mix of sci-fi, horror, camp, and satire was a rare gem indeed during its run.
I was fortunate to get to meet Xenia Seeberg the night before the last ep aired here in America. She's a sweetheart and as stunningly gorgeous in person as onscreen. For those of you who have not watched Lexx yet, give it a try. If intelligent satire is not your thing, or you don't understand camp - it's not for you. But it is absolutely brilliant - with lacerating insights and knowing winks that we the audience get to share. It is a celebration of science fiction, storytelling and a wink and a nudge to entertainment industry insiderness.
High points are the First Season 1st ep (Season 1 was four two-hour tv movies); Season 1, ep 4; the story arc of Mantrid in Season 2 and Lykka's end; the meditation on good/evil/heaven/hell in Season 3; and the hilarious romps through various genres in Season 4: vampires, mummies, guns, UFOs, dumb Americans, internet porn cams, Gen-Xers, right-wing US militias, Vietnam, underwear-sniffers, and evil little children (with great guest stars along for the series' run, like Britt Ekland, Rutger Hauer, Tim Curry) make it a classic.
Watch the entire thing, from beginning to end, and if you're in the business learn how to do a comprehensive story arc for your whole series with a satisfying and poignant end (er, that means you RDM).