Metal Gear Solid 2
Unlike the rest of the gaming world, I loved Metal Gear 2 and despised 3. Why? I had fallen in love with the gameplay of Metal Gear, not the character of Solid Snake. Raiden didn't bug me that much; in fact, I didn't hear a lot about the people razzing on Raiden (it was pre-my-internet-access days) until after I'd beaten the game. But here we are, ending a major mindwarp, feeling like we are getting somewhere, and SO MANY CLIFFHANGERS ARE LEFT, only to have us wait years for a sequel....no....a PREQUEL. We have to wait for MGS 4 to get any answers, and even then we don't see a satisfactory answer to the cliffhanger. I despised the constant hunger/survival/no radar whatsoever of the third game in the series, regardless of whatever else people loved about it. Note, I'm glad I played through it, because I'm finally playing through 4 right now, and I don't know how anyone could have walked in at that point without knowing the history. Extra props go to a part not in the actual ending, where Snake dives to swim after a Metal Gear. I mean...what happened?
Professor Layton and the Unwound Future
I received Professor Layton and the Diabolical Box for Christmas and promptly got addicted. So, I found the strategy guides online and regularly consulted them; and I reset the game if I failed a puzzle, so what? It's the story that grips me. Unwound Future puts in an afterthought plot twist of the Professor's longtime sidekick Luke being forced to move to America, Layton re-finding and re-losing the love of his life, and a sentimental endscene where, in a first for the series, Layton removes his hat (AMAZINGLY significant to those enjoying the series). Last Specter? PREQUEL. AGAIN. I know two games have come out since Unwound Future, but no further storyline chronologically. Does Layton visit Luke? How does he continue? How does London go on after a huge chunk of it is swallowed into the earth? There are a bunch of questions I would love to see answered.
Baldur's Gate: Dark Alliance 2
Baldur's Gate means something special to me and my college crew. BG1 was a purchase of my own that went unnoticed until a couple friends tried it out, then I ended up playing through the entirety with both of them. By the time we learned of #2, it was already rare. We finally found a copy and went through it. Both games end with an amazingly dire, "you think it's all good, but OMYGOSH ANOTHER IS BEHIND THE WHOLE THING AND ITS ABOUT TO HIT THE FAN" moment. The company behind Baldur's Gate: Dark Alliance is no more, so the story is sadly no more as well. What I wouldn't give to see is for someone pick this license up and at least give me an ending.
Final Fantasy X
For me, Final Fantasy X is horrible because they created a cliffhanger. I finished FFX and was satisfied. It was sad to see a separation of the main characters as Tidus ended up being, well, not real or whatever, but the story had closure. But, then sequelitis hit our favorite solo-story series, and now we suddenly figure out there's a way to see more, but it's through a complete mastery of a bubble-gum jpop world in comparison to the first. While I have yet to finish X-2, my understanding is that to get the WHOLE story you must 100% just about everything in the game. FFX deserves a place as a bad cliffhanger because you didn't know there was to be one. It's like clinging to a ledge, looking down to see the ground two inches below you, only to have your friend come in and start digging a hole.
So there you have it. My personal worst cliffhangers in gaming. Not because they leave you wanting more, but because there was either never a continuation, years and side stories before the continuation, or a continuation that wasn't even needed at all. What would you add to the list?