All the rest is spoilers.
Here is a metafilter discussion of the season finale, which pulls together some of the outraged comments.
Bill Simmons in Grantland: "I can't remember a single show damaging a network's brand this severely, to the point that AMC either needs to apologize, offer the entire Breaking Bad series on DVD for 85 percent off, or even publicly distance itself from the show the same way a sports team distances itself from a star player who does something horrible."
Alan Sepinwall at hitfix.com: "[the finale] is a mess, and an insult to the audience who have stuck around for the last three months.
Andy Greenwald in New York Magazine: ". . . all of this led to a finale that spat in the face of convention, logic, and the audience. There was tone of condescension about this entire project from the start — all the talk of defying audience expectations, of how the writers would sort of 'figure out' the killer’s identity as they went along. All of this reeked of poorly thought out elitism, like a college freshman clutching a half-read copy of Siddartha and explaining to everyone how they just 'don’t get it, man.'"
Todd VanDerWerff in the LA Times: ". . . one of the most frustrating season finales in TV history."
Why this outrage? This is the spoiler. We don't find out who did it. We find out that the most pleasant character in the show is probably part of some big conspiracy to frame the liberal politician. But we don't find out who did it.
Yes, this is another of those shows where the audience is denied closure.
I think the issue of closure in TV narrative is very interesting. Failure to adequately close a show incenses audiences like nothing else. They talk about 'betrayal', about not being able to forgive. This is what has gone wrong with so many SF shows: Lost, BSG, Flash Forward. These shows' makers asked for the continuing attention of the audience, implying they had the story under control, and then they couldn't bring that story home to a satisfactory conclusion. It is easier to elaborate complications than to resolve them, and so we see this happening repeatedly, with ambitious shows failing to deliver on their promises.
I don't think an open ending is always a betrayal of the audience. I think refusal to close a narrative by withholding answers to key questions can be a deliberate and controlled artistic decision. I see The Killing as possibly (possibly) exhibiting that level of artistic control. But if the writers and creators of the show have not explained 'who did it' because they don't know - if they just haven't figured out an ending in time which is compatible with the story as they have set it up, then they deserve the rage they have incurred.