Oh well my first pick is easy, Far Cry 2. I know that opinion was quite split on FC2 as a game but I really did enjoy it, felt very immersed into it and was a really fun game! But the storyline was a bit off at times, it wasn't the strongest point of the game for definite, but, that ending was just awful. It just pans out and that's it, with little to no closure or gratification. It was very much a "... is that it?" moment.
And now, the biggest offender. Halo 2. Halo 2... I loved you Halo 2, but how dare you stop right there! That ending, man. "Finishing the fight". Now, I thought that was a really powerful ending and it showed how badass Chief was, but, my lord, a cliffhanger like that was just unfair! It pretty much guaranteed that I was to be buying a 360 and buying Halo 3, some damn good marketing there Bungie, kudos, but, yeah... never shall forgive them for that.
Borderlands would be another. A great game, but, it ended with such a crappy boss fight which was genuinely just boring, and then I got worse items than what I had and barely any kind of closure or anything. Was a very weak ending, not something which befitted such a fun game. I remember just getting a Blue weapon from that boss, while I was packing Orange out of Lilith's cleavage. Come on Gearbox, bad show!