I would say so. If the games are good enough and you're able to get some enjoyment out of them then it's definitely worth it, even if the latest game in the series ends with an unresolved cliffhanger. After all, it doesn't change how good the games were to begin with.
The Half-Life example is actually interesting, since a couple months ago I did play through Half-Life 2, HL2:Ep 1 and HL2:Ep 2 and I really enjoyed them all. Is it disappointing to know that there will basically be no sequel that ties the story up? Yeah. But does it take away from the enjoyment I had when I played the games? No, not at all. And I definitely wouldn't want people to shy away from playing the Half-Life series, or any series for that matter, just because the overall story is unresolved. At worst I feel it just means you can't get as invested in the story, but sometimes that's just the price you have to pay.