The ending to Rozen Maiden springs to mind immediately. I thought it was alright, but not particularly good and really disappointing because it left quite a few questions unanswered.
There was also the infamous ending to Neon Genesis Evangelion...
Why did Barasuishou crumble away? What the hell happened after that with Rozen? What was with that freaky rabbit guy, and why did everyone suddenly know his name? Did Souseiseki and Hinaichigo ever come back?
If it counts, the Sinnoh League tournament in Pokémon was really freaking annoying. I thought that Ash finally had a chance at winning, given that he finally began to rotate his new (and rather powerful) and his old (also powerful) Pokémon in and out of his party between matches. But NO! We can't have Ash actually win a tournament, now can we? Enter Tobias, who promptly curb-stomps the ENTIRE LEAGUE using one Pokémon, a Darkrai which legendary, extremely powerful and absurdly rare, wipes out most of Ash's team with said Darkrai and, when it finally goes down, he sends in Latios, another legendary Pokémon, to clean up. It goes down, too, but the fact that he had TWO legendary Pokemon and mopped the floor with Ash's team with just them pegs him as quite the Marty Stu character...
There was also the infamous ending to Neon Genesis Evangelion...