Yeah well some of the best series ever have been cancelled in their early life, while others far less deserving have dragged on for forever without actual reasoning.
But luckily I think by the time Rome was cancelled mid-season S2, they at least managed to sweep through rest of the intended storyline pretty smoothly in the very limited time they had (IMO the final episode showdown at Egypt was perfect) without it looking horribly rushed, or leaving it unopen.
I just wish they returned to it someday. But perhaps instead of continuing it where it left (the reign of Augustus) they'd go to say 2nd/3rd/4th century where the Empire is crumbling on constant civil wars and inflation, plus the Pagans persecuting Christians (or perhaps even Christians persecuting Pagans later on lol). Fifth century with the barbarian hordes and Western half of the Empire slowly collapsing into chaos could be interesting too
Rome just came out at the wrong time imho. It was too early in HBO's original programming for a large scale product with no previous fan base. Had it come out after Game of Thrones, I feel it would have done better.
That said, GoT ending should be celebrated, as other people have already stated. Honestly, good television should have you wanting more and feeling that it ran too short.