Thinking that you are reading book 3 in a trilogy and realizing, as you get close to the end of the book, no, there are going to be more books. Yes, I'm happy that the series is continuing but I thought it was a trilogy! (Wild Rains Chronicle, by Robin Hobb--ALL of her series have been trilogies before!)
Yes, that happened to my friend with, I think, Eragon? She was reading the third book, assuming that was going to be the end, then realized there was actually going to be a fourth
book, which was nowhere close to being available yet.
My friend and I got into a young adult series that had twelve (small) books--it was a really fascinating premise and pretty well executed. But as we started to get into the last few books, we started to wonder how they were going to wrap everything up in the time they had available. Turns out... they didn't! I think one big villain was defeated, but the twelfth book ended with the heroes still on their quest to defeat the other bigger, badder villain, and
permanently cut off from returning home. It was pretty depressing, actually. And, it doesn't seem like the story was ever continued anywhere--it's like the author (or publisher) just got tired of it.