Can't recall a time where I was let down my an anime ending. Mostly when I don't like an ending to an anime, it's usually a case where I didn't like the anime to begin with. Like Kite: Liberator. The ending was shit, but the anime was shit to begin with. Or Soul Eater, where the ending just made it stupider. Or Elfen Lied. A preposterous ending to an already flawed show.
The only thing that comes to mind is the Berserk anime, which I haven't seen. I read the manga, and I looked up the ending to the anime because I was curious to where they ended it, and I was just like "Seriously? Your ending it THERE?!"
Other than that, it's usually the opposite. Where an anime is crap but has a good ending, like (for me anyway) Katanagatari. The rest of the anime is boring and way to talky (which I usually don't have a problem with, but DAMN THESE PEOPLE JUST WON'T SHUT UP AND JUST FIGHT!), but the entire last episode was brilliant.