The series ends on modern earth with the advancement of artificial intelligence. It turns out this is the beginning of the new cycle, as Skynet and the Terminators represent modern humanity's Cylons. The major difference is that this time space travel technology will not have advanced far enough for humans to escape earth, but they will develop a new technology not seen in previous cycles: time travel. And this will be what gives new hope to the cycle being broken this time. (If I interpret the trailers of Terminator Salvation correctly, this will be all but canon.