VtM: Bloodlines - Agreed! Though the reason no one played this, it was pretty much unplayable for 80% upon release. This problem is probably one of the main reasons Troika made three games and went under. That being said, most of the problems were resolved in patches (and many further patches by the community) and it's easily in the top #10 best RPGs ever, and in my personal top 5.
Planescape:Torment: Agreed! I sold this like someone going door to door about their religion, I was a True Believer. It still shocks me today how many die-hard RPGers never picked up this gem.
Sid Meyer's Pirates!: Okay I don't even know how you'd do a sequel, but a game this much fun deserves it. Maybe I can even be a girl pirate next time around!
KOTORII The Sith Lords: Okay, I'd settle for this game being finished correctly. They stop the game pretty much about 60% of the way through, and rush it towards the end. While we might suspect this with some games, it's a fact with this one...they included the voice files. Gamers wept when they heard what could have been. And it would have been in the top 3 best RPGs ever...frankly it would have hit #1 IMHO had they done what they planned. But I'd love a sequel done right in a similar fashion. What made this 2nd one better than the first...the Han Solo-type character of Atton Rand (instead of Carth the whiny ***** we all hated from the first). And I'd mention the awesomeness that was HK-47, but he was in both games meatbag.
Jade Empire: Originally Xbox only, and then ported to the PC this absolutely deserves another game. It's basically an RPG of the 'KOTOR/Bloodlines/etc' genre set in mythical China. And since it was made by Bioware, same folks who did KOTOR it's not shocking that it's similar.
American McGee's Alice: I was looking forward to Oz, which apparently has died due to various issues. This game which is really hard to label, but I think got billed as an FPS was one of the most creative, fun and interesting games I had played in years. I even wrote a complete fanboi letter to American McGee gushing about the game...something I've never done before or since over a game...though I'd happily grant Roberta Williams rights to any firstborn I had.
Grim Fandango: This is one of those ones where I just can't believe there's not a sequel, especially when you consider some of the shit that gets made. I don't think anyone anywhere ever said anything bad about this game.
Clive Barker's Undying: This game scared the crap out of me, not something easy to do. Anyway one of the only true horror games I've ever played that didn't revolve around 'BOO!' tactics to be pseudoscary (like Doom).
Age of Mythology: Probably my favorite RTS, I know there's an expansion pack, but that's not really a sequel. Unfortunately I don't see Age of Mythology II where you can play Christians, Muslims, etc. being possible, even though it would be highly amusing.
There's more I could list, many more if I went through all the games I own, but that's just off the top of my head. If I could only pick 3 games to get a sequel, it would be:
Bloodlines, Planescape:Torment, and KOTORII (done correctly and a sequel by the same folks given enough time to do it!)