Angel. The few heroes still alive are about to go into the last apocalyptic battle, and WHAM cut to black the instant it starts. Except it felt like closure, cuz the cut was at a much more appropriate point for an ending, it didn't feel like my cat just pulled the TV's plug out of the wall when I wasn't looking. Also, Twin Peaks ended in a slightly similar (ableit more disturbing) fashion, even though it was really cuz the series got cancelled, not a true ending per se.
The biggest difference, really, is that in 20 years people will still talk about the Sopranos finale. Along with the legendary Newart finish and the MASH finale, people will probably still debate what actually happened. That's the truly incredible aspect of the finale. I can't really think of a TV Show that ended like this before. At least a TV at this level.