KOTOR II. I know it wasn't "cancelled" in the sense that it never hit shelves, but the ending certainly was. The developers were weaving together a huge plot with almost every character you've met involved, and these woven storylines were coming together for some huge finish, and then someone pulled the plug. So, at the end, we had ONE character try to explain the main plot in a CUTSCENE while the rest of the story threads were not left dangling so much as they were cut off and cauterized. Corporate wouldn't even let the developers release a proper ending as DLC.
I don't care so much about some HD-remake or massive control/gameplay change; I just want some proper closure to a game I loved.