Aoi Hana and Sasameki Koto spring to mind. Since there's no way in hell they could compress either series into a single season [small](okay, there is, but only because Ikeda fucked up the pacing in SK)[/small], the anime adaptations function more like advertisements for the manga than as actual shows. They're still great, but they just.. end. No resolution, you'll just have to go read the comic.
EDIT: Wait wait wait, Ghost Hound! What was with that cop-out ending? If they had another season to explain how the fuck everything played out, maybe it would feel like less of a slap in the face.
There's also Dennou Coil. Now, this show resolved most things very neatly at the end. The only way a second season could work would be if they had some transcendent ideas.
I think they could pull that off. There are plenty of story hooks and ideas in there, and you could weave a story out of practically any aspect that they didn't fully explore the first time around.
[sub]I'd like to see more Ghost in the Shell too, but the last time they tried that they ended up with 2nd GIG. Let's not go there.[/sub]