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I don't generally despise cliffhangers as a rule, but what seems to kill me about them is that in every one of the cliffhangers I've seen, they seem to be "tacked on" at the very end rather than built up to. I'll pick out my top three: in Halo 1, I never would've guessed there would have been a sequel planned if it wasn't for the main character's word. The same goes with Gears of War; I never would have guessed they planned to make a sequel if I hadn't heard a voiceover by some character we've never seen or really heard of in the last thirty seconds. Bloodrayne (both 1 and 2) are also prime examples of how not to end a game, although then again they're also prime examples of how not to make a game.

"I just beat the demon from hell. The world's safe."
"Oh by the way we just discovered something even worse that we hadn't known about before. You're needed to defeat it."

One game later...

"Yay, I just defeated the eviller thing. We've won."
"Wait! There are other eviller things out there that I never mentioned before!"

A picture here is worth a thousand words, so I'll post one to express how I felt about that ending:

As mentioned, Thief did it well in that the setting and characters were reusable, but the story had a definate end. It's over; Garrett is done. But... dawn of the metal age! Fate has a way of finding you! It's even used in a sinister way in the end cutscene without invalidating the drama in a 'you just killed Satan but his dad is coming' kind of way.

Stark wrote:As mentioned, Thief did it well in that the setting and characters were reusable, but the story had a definate end. It's over; Garrett is done. But... dawn of the metal age! Fate has a way of finding you! It's even used in a sinister way in the end cutscene without invalidating the drama in a 'you just killed Satan but his dad is coming' kind of way.

I think that what many developers (or storytellers, or directors...) do not grasp is that even if you have hints of a larger story, closure must be provided for what the player just went through. Now, the stupid thing to do it is to say, "the foe is dead, here comes the foe's father" (and brother, and sister, and extended family, ad nauseam). That's basically telling the player they didn't do their job, and in so doing yanking a well-deserved victory out of reach.
A similarly egregious offence is when an ending is just suddenly foisted upon you without warning. Fallout 3, I'm looking at you, although unsurprisingly, I recall Oblivion as having the same problem. In other words, you decide to follow the main plot and, eventually, when you least expect it, you're thrown into a scripted sequence where you either facilitate the end the game or the end of yourself. If thousands of side quests are left unfulfilled because of you didn't see the end coming, that nets the programmers bonus points in their secret crypt, or so I hear.

A good ending doesn't require much, and will often only need to consist of a wind-down and a pat on the head for a job well done. A great ending will give you something more. It can be elaborate, or, as in the case of Thief 2: The Metal Age, consist of a simple exchange:

"All is as it was written."
"And there's more?"
"Yes."
"Show me."

I'm with the crowd that says it's okay to leave it open for a sequel, but do *not* do cliffhangers. Especially with the very real chance that you won't get around to your sequel and your story is never finished.

I'm looking at you, Advent Rising!