I ran across a thread on the Podcast Pickle today about purposely finishing off a show. A podcaster had come to the decision that it was time to end one of his shows and was asking what the best way to go about it would be.
In general, the response from the community was that the right thing to do is to have a finale show, thank all your listeners, and close it down.
I wholeheartedly agree. There is far too much podfade out there (when a show just ends and nobody knows why or when). I think that if we look at main stream media we see that in most cases networks and magazines don't announce the ending of a show or column. In some cases, they do, but in general I think they don't. That works for them, though, because MSM generally has a pretty rigid schedule of shows and it's very easy for a reader or viewer to figure out pretty quick that a show has gone off the air. With podcasting's loosey-goosey scheduling, it's much harder for a listener to figure out if you're gone off the air entirely or are just taking a break.
If and when you have to end a show, tell your listeners that it's over. Then they know they can take you out of their podcatcher and you avoid all the bad karma that surrounds podfade.