I have mixed reactions, really. It's all dependent on various factors. Note: This is only if you're surprised by it not being the real ending.
1. Length of game so far: If you've been playing the game for an incredibly long time, you fight the big baddie and win, then realize it's still not the end, you could be pretty god damned pissed. But if it's been a relatively short amount of time, it can be a nice surprise to find out the story's only just taking off.
2. How much you liked the game: If you're one of those people that has to beat every game they ever play ever, even if you don't like it, it makes sense that you're gonna be pissed when you find out you have to continue subjecting yourself to this torment. But if you love a game and don't want it to end just yet, this is always a nice surprise to prolong the experience a little more.
3. How it affects the story: If you have a situation where the story has seemed to come to a reasonable end, then something randomly happens for no reason that seems totally unnecessary, you're probably gonna hate what they went through to pointlessly prolong the game. If it makes sense, in a way that's filling up a plot hole or answering a previously brought-up and unresolved question though, it's good.