The Shield has the best finale I've ever seen - absolutely perfect in tone and so true to the series and the characters, especially Vic. No other finale I've seen comes close to being this good.
The Sopranos
Angel
Twin Peaks - it wasn't really meant to be the finale, but goddamn it was so dark and a fun way for the show to go out
The Wire - the last season was the worst of the series (although The Wire's worst is better than the best of most shows) but I loved the final episode - very true to the series
True Detective - recent one, but I thought it was fantastic
I know I'm in the minority for sure on this, but I wasn't a big fan of Breaking Bad's finale. I wanted to love it as much as I loved the show in general and especially the incredible last 3 episodes leading up to the finale. But one thing I judge finales by is how true I feel they are to the show and characters, like I've mentioned above a couple of times, and the finale just didn't sit well with me. The whole last episode was far too easy for Walt (and too focused on Walt) - that sounds weird considering his ultimate fate, but this analysis of the finale does a good job of spelling out why it didn't work for me: http://tinyurl.com/npz8s5h