On HL2:
ALL of the vortigaunts are "all knowing". No one bothers to talk to any of them except the one with the cough in that little cave because he's hidden and special and whatnot. I think HL2 and the episodes had good cliffhangers.
Other Good endings:
Starcraft (it set up conflicts to be resolved in SC2 and leaves everyone ravaged enough for SC2 taking place several years later to be viable)
I did dislike Fenix getting killed however... he was my favorite character...
Halo: Combat Evolved
The warthog race was fun, and a great change of playstyle from "shoot everything that moves." But also because it managed to resolve all the conflicts while still setting up sequels. I guess blowing up every setting the game had all at once is a good design choice.
However, Halo 2 had a very, very BAD cliffhanger. My internal monologue: "Yeah! Let's finish this fight! Cool forerunner ship time! ... Okay, I'm ready to play the last level now... I get to play as Chief one last time right? ... WHAT. NO." *throws controller through television*
Other terribad endings:
Fallout 3 (everyone's favorite)
Fable 2
You're a tool the whole time. Theresa, at the end, basically says "You have what you want, but the spire is mine, STFU and GTFO." No closure of any kind, except for Lucien's death which is really unsatisfying. They made Reaver kill him if you take too long.
Earthsiege/Starsiege games
Prometheus ALWAYS gets away. Even at the end of Starsiege, when you blow up his physical form, his "children" escape with pieces of him. Though I do have a certain fascination with cybrids, a part of me wishes <First-Thought, Giver-of-Will> would die\\deactivate. He's been torturing\\attacking\\killing the human//animals for a bit too long.
But it is a damned shame we never got a sequel. RIP Starsiege 2845.