I recently watched HBO’s The Time Travelers Wife full well knowing there was only one season. I think I mostly regret it. I loved the show, and knowing there won’t be any more to watch has bummed me out for the past week. I can’t remember feeling this way about any other show - it sucks.
If it’s episodic: Yeah. No problem.
If it’s serialized: Maybe. If it didn’t end on a cliffhanger that will never get resolved, I might check something out knowing it’s cancelled. Even if the ending might suck, it’s at least an ending. Crappy endings aren’t half as bad as not having one at all. Especially if you liked it up to the point it just stops.