[Catching up some much earlier replies]
Killing off so many Goa'uld - perhaps the main strength of the entire Goa'uld structure was the imposition of religion and power over the (basically) primitive colonies. Domination and technical supremacy to god-like levels. In come SG-1, who know the truth, and whilst not equal technologically, know some ways around it. That pretty much levels the field, though of course the Goa'uld still have much the advantage, which is good drama. I would presume (notwithstanding what I have read about forthcoming episodes in S5 and S6 that I've not seen - i.e. most of them) that they figured towards S3/S4 that the Goa'uld were becoming boring and we needed a new challenge. Perhaps the fans disagree?
Certainly from a personal point of view there are lot of things still to explore (some mentioned by other replies): the development of the race from the Unas beginnings, the descent into domination, the background society (there must be more than "gods" and Jaffa)
As for "reality" in episodes, I have full agreement. Why must they always win? Some of the other serialised shows (e.g. Buffy) do have eps where things might just about win, but the characters still have permanent loss of friendships, partners, deaths.
In SG-1 if someone is injured you just know it is a plot point. If someone is dead, its probably a dream, reversible, or alternativce reality.
Lets start having proper arguments that take several episodes to sort out. I mean, how many times has Teal'c left the SGC, and just as happily returned (and been accepted back) in the series? Some injuries that actually lead to episodes worth of problems. Replacements, reassignments, staff changes. Sam, Daniel or Janet moved back to Pentagon or Area51. One of them sent for study into the effects of all their alien body invasions. Something that actually takes more than a single episode to resolve. We can still follow their progress, just lets not fix it all again by the credits!!