I agree about that Six Feet Under finale. On a similar note the final episode of Blackadder Goes Forth is devastating in its final scene. In terms of last ever episodes (to look at that side of the question), it's hard to think of many others, even a show as great as Seinfeld in my opinion was a little below par with its finale. Though the very last scene of The Sopranos has that ambiguous angle that I like, even if it drove some people mad.

And Who Shot Mr Burns Part I of course XD