In a segment for the upcoming Deadwood DVD box set, series creator David Milch talks about the abrupt end of the show and some of the plans he'd had for season four:
Milch does say that he had hoped to introduce a couple of new characters in the never-made fourth season, one of which was based on the sojourning father of John D. Rockefeller who passed himself off as a medicine man who was both a fraud (dispensing mostly alcohol as medicine) and bigamist. He'd be accompanied by a native medicine man whose tactictics were about the same. As it was it could only introduce a bit of their stories in season three.
Milch also says that he's currently working on another show for HBO about New York City police in the 70s called Last of the Ninth. (via house next door)