Ahh. There are quite a few games which had issues in my book. I don't necessarily have issues with an ending that feels incomplete, so much as one that feels completely different from the rest of the material and/or isn't an ending. As such Fallout 3/New Vegas get a pass for me. The games I've found most annoying are:
Mass Effect 3 - A decade of lies, specifically that they initially stated that the ending wouldn't be some sort of choose ending A, B, or C.
Crysis 2 - A game that didn't need to exist, because its ending was just a setup for 3.
Beyond Good & Evil - Setup a substantial world, had a satisfying endgame, then the final boss teased the fact that this was only a small part of a much larger scheme.
Darksiders 1/2 - Completely different games which both had the same ending (which was also the beginning).
Dead Space 3 - Teaser that the main character didn't die again, somehow. Seriously, Isaac must be the only sane person in that entire universe.
Terraria - Having stated that the boss included in the last major release was the endgame, we're left without a real ending. This entire game seems to have both no story, a deep story, and manages to have an ending free ending.
System Shock 2 - Fun twist, terrible mechanics (by today's standards), and an exercise in frustration. The ending here felt rushed, but that might just be me.
That's a lot of negativity, so there are a few games that I immensely enjoyed the ending of, because they felt like a complete story tied up and done.
Transformers: War for Cybertron
Shovel Knight
Saints Row 4
Earth Defense Force (cliche, but fun)
Bastion