First One that I want to mention is Pumpkin Scissors. There were so many open questions when the first season ended that were never answered. How'd the war start? Who were these random people? What were those special soldiers really? Unfortunately the company went belly up and so did any possibility of the show continuing.
Next, Trinity Blood. This ending was left so open it was not funny. It literally gave the perfect opening for a season 2 to follow up...unfortunately the original writer died. Yes the manga is still running from what I hear, but I have not seen any rumors whatsoever of the manga picking back up.
Lastly, for now at least, is Black Blood Brothers. This one literally made me rage as I finished it. The anime ended with the enemies they were fighting fleeing from the city an a maniacal laugh being heard thundering in the background....Last I heard the anime did not have much support in Japan so they weren't going to continue it...Hopefully that changes sometimes because the characters and story line were great.