I didn't find it a major let down, though I have strong suspicions that (despite John Logan's claims to the contrary) that we got what would have been the 4th (and properly "final") season compressed into the final 2 episodes. It felt like London had fallen into darkness some time before the guys returned, but the way it was cut made it seem like only a short time had passed.

My theory is that S3 would have ended with Dracula kissing Vanessa and S4 would have been the battle for her soul (plus Lily's army going on a rampage and possibly The Mummy - Lyle was going to his tomb) but the ending would have been pretty much the same (and possibly more poignant as we would have had hope for Vanessa's rescue for much longer). It's a bit like if Babylon 5 hadn't had it's last season and "Sleeping in Light" had been at the end of S4 as planned until almost the last moment.

There are sequel/prequel "Penny Dreadful" comics due out this year if you're interested.

Actually I don't have problems with the fact that Vanessa died in the end. Considering amount of suffering in her life that, probably, is the fitting end for her - that she didn't live till old age and had grandkids. But really, execution was really wasted. Like, boom, she is Dracula's bride already , boom, and she is dead. Also the whole Wolf of God thing didn't have any role in the end cause Ethan didn't have any proper battle with Dracula or didn't use his powers to kill Vanessa. I mean surely he wouldn't be called Wolf of God just for shooting somebody with the gun? Oh and the character of Dracula was pretty much wasted. I mean here they give him a much more menacing backstory - fallen angel, brother of Satan, not just a vampire -and he ends up quite bland, and when Vanessa died, he...eh...just left? I mean what kind of finale is that? I understand that they compressed a lot of things into the finale, cause for whatever reason the show ended after season 3, but it hardly makes things better.