Assassin's Creed; MASSIVE cliffhanger where you find out that the people keeping you captive are the same guys that were trying to take over the Holy Land, Lucy is actually an Assassin (I think), and suddenly you have the same abilities as Altair. Hopefully AC2 solves at least one of those problems.
Metroid Prime series (more like "They're STILL not dead?!" moments). MP1: You see the arm of the Phazon Suit shoot out of the Phazon puddle that is Metroid Prime; MP2: Dark Samus reforms outside Aether's atmosphere; MP3: That weird ship is blue, like Phazon, so when I saw it the first time I thought "WHY WON'T THIS ***** JUST DIE?!"