I noticed this with shows that are set up for weekly consumption (Such as say, Rockford Files) but less so with shows that seem to have an arc planned out (like Sopranos) but I understand the fatigue you are talking about. I think it also comes from leaving nothing for yourself to look forward to. You do make a good point though about shows like Lost. There is something special about watching it on a weekly basis with the rest of the world that allows for unique conversation that you won't see again outside of a convention. But after that, its the very reason things like Dragon*con or Comic*con DO exist. :)