I like the Indiana Jones trilogy because there was no fourth movie. :] There DEFINITELY was no fourth movie ever made or concieved, by anyone EVER.
/Sobs in a nearby corner
I actually found, though, that the Lord of the Rings movies were the only trilogy I ever liked, and still do. Why? Because they were filmed at the same time, with no concept of 'We'll make another one if this works out well enough'. The Lord of the Rings was great because there was no intention of hacking on some money-maker at the end. These movies were built to tell a story, and I'm sure that if they could have done it in one 3-hour film, they would have. But since all the movies were shot at one time, jumping in between doing scenes, there's still a great feeling that nothing has changed between the cast or the film direction; if you laced all the films together into one long string, you couldn't tell where the ends meet. Though the first Matrix was good, the first Pirates was good, etc., they disintegrated into crud because of their intentions from the start.
/wee rant