That really depends. If I'm watching the show because I like it, and I wanted it to get renewed, I'd obviously continue watching and supporting the show until the very end of it. An example would be Awake on NBC. I really like the show (and I've heard many other people who do too), but ratings continue to drop (where are all those who like it now, huh?) so Awake will probably be cancelled some time soon. However since it is really intriguing me, I'll be sure to watch every episode as long as it lasts.
If I thought, on the other hand, the show was only so-so and it got cancelled, I'd probably let go of it. For instance The Firm (also on NBC), was OK, but when it got moved to the Saturday night death slot, I stopped watching. The premise was nice, but worn-out. We have seen so many of those shows that it had to be excellent in order to survive.
So I think the cancellation of a show (unless of course it is pulled off the air, that leaves us with no choice) is not really a reason to stop watching. Merely a point where you think: Do I really like this show, or are there better things I can do with my time?