I disagree with that. It's not depressing if you go in realizing that the show was good, but ultimately is limited to what it is. If you take it as a contained whole, rather than a potential ongoing story, it's not bad. Yes, there are loose ends left, but accept what was good that is there, and leave it at that. No need to get depressed about it.
And yeah, Firefly was a great show with a lot of potential, but it wasn't THE best show on TV EVAR and such. Don't fall victim to the hyperbole. It's really enjoyable, but it had its flaws, just like other shows.
And for all those who say "Oh, if only it could've continued", let me remind you of how uneven, say, BSG became towards the end of its run. Yet Season 1 was just top-notch stuff. Or that Heroes season 1 was just mindblowingly good, and then went precipitously downhill afterwards (or so I'm told -- I've never watched Heroes).
I will say that Whedon's shows tend to get better over time. Certainly Buffy and Angel did. It wasn't really until their 2nd or 3rd season that things really took off, although they were quite good before that. Firefly is unique among Whedon shows in that it manages to dodge some of his more annoying tropes (Watch out for flying lumber and stray rounds!), while still remaining exciting.