The ending could have been better but it definitely could have been worse? I've watched it twice now and was happy enough with it, the last season wasn't to the same standard as the other for sure.
It was never going to be a happy ending (or you haven't been paying attention), Martin had said that for years and years, Dany's descent into madness came pretty quick but not un-predicted.
They should have made it longer than 6 episodes to develop the story more but not having any real source material to work with I worry that it wouldn't have actually made the quality any better.
They left it open to interpretation but my feeling is that Jon doesn't go back to the Nights Watch and instead joins the Wildlings as his ending.
Discussion point: If Jon doesn't reveal his true identity to Dany does she still go mad? I'm inclined to say no and its all Jons fault :P