Max Payne 1+2 had both great endings, providing closure without having to make obvious hints at a sequel (if you don't add the credit messages to it)
Same thing for Metal Gear Solid in general (haven't played 4 yet, but hey, even the MGS2 ending was somewhat satisfying despite the mindfucked plot)
And then, of course, there is Shadow of the Colossus
There are others, but enough for now...