There are so many games I loved that didn't have sequels.
To me right now it's a toss up between F-Zero GX, Baten Kaitos Origins, and Custom Robo. All of which were awesome, none of which had sequels.
F-Zero GX was absolutely the best and most challenging racing game ever and still one of my favorite games of all time.
Baten Kaitos Origins was a unique RPG with a great story, an interesting world, unique and fun gameplay, and stunning visuals. They need to make a sequel.
Custon Robo was one of the most fun multiplayer battle games I've ever played. It was fun, action packed, hunorus, and very unique. Also goes in my top favorite games ever. Actually, I think they did make a sequel for the DS... it was okay, but they need to make another.