I've mentioned this one before somewhere. Everworld, by K.A. Applegate. Skinny YA books, but there's 12 of them, and when a friend told me about them I was instantly hooked on the idea--a group of modern-day teens are pulled into a world where all the mythologies of the world are real. The Greek gods are there, the Egyptians, the Aztecs, etc.. I've always been interested in mythology, so I rounded all the books up used and another friend and I read them.
They were pretty cool for quite a while, with the teens introducing modern technology like the telegraph to places like Fairyland using the materials at hand. Meanwhile there's a couple of Big Bads they're fighting against, who are truly terrifying, and the kids are having some fairly sophisticated moral crises. Then around book 10 you start thinking, um, there's not too much time left, how are they going to wrap up all these problems?
And then... they don't. I think they got rid of one Big Bad, but the other one was still there and completely active, armies in the field slaughtering everyone they come across (so not even on the run) and the story basically ends with, "Yeah, they just stayed there and kept on fighting!" 
The vast majority of the series was good. But the ending was such a huge letdown that that's mostly what I remember about it now. 
Ooh that reminds me of Animorphs!
I read them as a teen. The premise was great (a bunch of human school friends get the power to shape-shift into animals and have to fight a secret alien takeover), and the early books were fantastic. But as the series went on (there are something like 50 books in total), it just kept introducing characters, ideas, and abilities that were never mentioned or used again in any of the obvious places despite, you know, lives being apparently at stake. There was one book, for example, where they randomly one day appeared out on thin air of a cool alien planet and had some adventures there, but the explanation for how they got to the planet in the first place was basically, "well, just cuz." Even the top advanced alien scientists all say, "this is a very important mystery," before promptly forgetting about it. Or, in several books, a character would start to have a deep moral crisis which would be left unresolved, with the character still in throes of mental anguish, and it would never be addressed again. The character would be back to normal in the next book, as though the author forgot about it. I'm talking about things like a character philosophising over the entire darn book about the virtues of vegetarianism (they can morph animals, so it's kind of personal), and deciding she would rather die than eat an animal again, representing great personal growth and the apex of the individual novel. The next book would mention her eating bacon for breakfast.
Great start. Even as a kid I ended up re-reading the first dozen books or so over and over because the later ones were so weak. Too many introduced ideas that were fantastic and had lots of potential, and then they were just waved away or not addressed again. It just kept getting more complicated without any of the new subplots ever finishing or being developed further. I like things that leave unanswered questions, but this really just felt unfinished. The series' ending was that they mostly kind of defeated the Big Bad but then another Bigger Bad came along. The end.
